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VARIANCE ESTIMATION FOR THE NORMAL DISTRIBUTION UNDER LOG SYMMETRIC LOSS

Published online by Cambridge University Press:  27 July 2001

Mark Brown
Affiliation:
Department of Mathematics, The City College, CUNY, New York, NY, E-mail: [email protected]

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
Copyright
© 2001 Cambridge University Press

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