On a Comparison of Several Competing Estimates of a Univariate Normal Mean by the Multiple Criteria Decision-Making Method

In this article we consider the problem of estimation of the mean of a univariate normal population with an unknown variance when uncertain nonsample prior information about the mean is available. We compare four estimators of the mean, including pretest and shrinkage estimators. The performances of the estimators are compared based on the multiple criteria decision making (MCDM) procedure in order to find the best estimator.