On the invariant estimation of a normal variance ratio

Mohamed T. Madi

doi:10.1016/0378-3758(94)00082-7

On the invariant estimation of a normal variance ratio

Mohamed T. Madi

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

We consider the estimation of the variance ratio of two normal populations with unknown means. Two smooth estimators that improve on the best affine equivariant estimator (BAEE), under a large class of bowl-shaped loss functions, are derived. A numerical study is performed to get a feel for the magnitude of risk reduction when these estimators are used instead of the BAEE.

Original language	English
Pages (from-to)	349-357
Number of pages	9
Journal	Journal of Statistical Planning and Inference
Volume	44
Issue number	3
DOIs	https://doi.org/10.1016/0378-3758(94)00082-7
Publication status	Published - 1995

Keywords

Bowl-shaped loss functions
Risk reduction
Smooth estimation

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/0378-3758(94)00082-7

Cite this

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title = "On the invariant estimation of a normal variance ratio",

abstract = "We consider the estimation of the variance ratio of two normal populations with unknown means. Two smooth estimators that improve on the best affine equivariant estimator (BAEE), under a large class of bowl-shaped loss functions, are derived. A numerical study is performed to get a feel for the magnitude of risk reduction when these estimators are used instead of the BAEE.",

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AB - We consider the estimation of the variance ratio of two normal populations with unknown means. Two smooth estimators that improve on the best affine equivariant estimator (BAEE), under a large class of bowl-shaped loss functions, are derived. A numerical study is performed to get a feel for the magnitude of risk reduction when these estimators are used instead of the BAEE.

KW - Bowl-shaped loss functions

KW - Risk reduction

KW - Smooth estimation

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UR - https://www.scopus.com/pages/publications/0041862001#tab=citedBy

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DO - 10.1016/0378-3758(94)00082-7

M3 - Article

AN - SCOPUS:0041862001

SN - 0378-3758

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EP - 357

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 3

ER -

On the invariant estimation of a normal variance ratio

Abstract

Keywords

ASJC Scopus subject areas

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