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VARIANCE ESTIMATION FOR THE NORMAL DISTRIBUTION UNDER LOG SYMMETRIC LOSS
Published online by Cambridge University Press: 27 July 2001
Abstract
For a normal sample with unknown mean, the almost universally used estimator of the variance, σ2, is “the sample variance.” This estimator is the minumum variance unbiased estimator of σ2, but it is inadmissible under square error loss. It is dominated by the maximum likelihood estimator, which is also inadmissible. We consider a class of estimators and compare these estimators under a class of loss functions which we call “log symmetric.”
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 15 , Issue 3 , July 2001 , pp. 351 - 367
- Copyright
- © 2001 Cambridge University Press