A new class of minimax generalized Bayes estimators of a normal variance |
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Institution: | 1. Department of Chemistry, University of North Texas, 1155 Union Circle Drive #305070, Denton, TX 76203, USA;2. Department of Chemistry, Kazan Federal University, Kremlevskaya 18, Kazan 420008, Russia;3. Department of Chemistry, University College London, 20 Gordon Street, London WC1H OAJ, UK |
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Abstract: | A new class of minimax generalized Bayes estimators of the variance of a normal distribution is given under both quadratic and entropy losses. One contribution of the paper is a new class of minimax generalized Bayes estimators of a particularly simple form. Another contribution is a class of minimax generalized Bayes procedures satisfying a Strawderman 1974. Minimax estimation of powers of the variance of a normal population under squared error loss. Ann. Statist. 2, 190–198]-type condition which do not satisfy a Brewster and Zidek 1974. Improving on equivariant estimators. Ann. Statist. 2, 21–38]-type condition. We indicate that the new class may have a noticeably larger region of substantial improvement over the usual estimator than Brewster and Zidek-type procedures. |
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