Estimation of a normal variance -- a critical review

DOI10.1007/BF02927101zbMath0931.62021OpenAlexW2009867836MaRDI QIDQ1269481

Chiahua Ling, Jyh-Jiuan Lin, Nabendu Pal

Publication date: 29 November 1998

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02927101

zbMATH Keywords

loss functionaffine equivarianceminimax estimatorrisk function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Admissibility in statistical decision theory (62C15)

Related Items (9)

Strawderman-type estimators for a scale parameter with application to the exponential distribution ⋮ Improved estimation of the covariance matrix and the generalized variance of a multivariate normal distribution: some unifying results ⋮ On a new interpretation of the sample variance ⋮ Estimation of the smallest normal variance with applications to variance components models ⋮ Estimation of order restricted standard deviations of normal populations with a common mean ⋮ Estimating the ratio of two scale parameters: a simple approach ⋮ Comparison of normal variance estimators under multiple criteria and towards a compromise estimator ⋮ A Note on Robustness of Normal Variance Estimators Undert-Distributions ⋮ A new class of minimax generalized Bayes estimators of a normal variance

Cites Work

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• Risk behavior of variance estimators in multivariate normal distribution
• A sequence of improvements over the James-Stein estimator
• Minimax estimation of powers of the variance of a normal population under squared error loss
• A unified approach to improving equivariant estimators
• Developments in decision-theoretic variance estimation. With comments and a rejoinder by the authors
• Improved minimax estimation of powers of the variance of a multivariate normal distribution under the entropy loss function
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Approximation Theorems of Mathematical Statistics
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
• Consistent Estimates Based on Partially Consistent Observations

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