Estimation of a Mean of a Normal Distribution with a Bounded Coefficient of Variation

The estimation of a mean of a normal distribution with an unknown variance is addressed under the restriction that the coefficient of variation is within a bounded interval. The paper constructs a class of estimators improving upon the best location-scale equivariant estimator of the mean. It is dem...

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Veröffentlicht in:Sankhyā: The Indian Journal of Statistics (2003-2007). - Indian Statistical Institute, 1933. - 67(2005), 3, Seite 499-525
1. Verfasser: Kubokawa, Tatsuya (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2005
Zugriff auf das übergeordnete Werk:Sankhyā: The Indian Journal of Statistics (2003-2007)
Schlagworte:Primary 62C10 Secondary 62C20 Secondary 62F10 Bounded mean Coefficient of variation Decision theory Generalized Bayes estimator Location-scale family Minimaxity Restricted parameters mehr... Behavioral sciences Mathematics
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520 |a The estimation of a mean of a normal distribution with an unknown variance is addressed under the restriction that the coefficient of variation is within a bounded interval. The paper constructs a class of estimators improving upon the best location-scale equivariant estimator of the mean. It is demonstrated that the class includes three typical estimators: the generalized Bayes estimator based on the uniform prior over the restricted region, the generalized Bayes estimator based on the prior putting mass on the boundary, and a truncated estimator. The non-minimaxity of the best location-scale equivariant estimator is shown in the general location-scale family. When another type of restriction is considered, however, we have a different story that the best location-scale equivariant estimator remains minimax. 
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