Evaluating estimators using stochastic dominance rules:the variance of a normal distribution |
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| Authors: | Moshe Ben-Horim Haim Levy |
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| Institution: | The Hebrew University , The University of Florida |
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| Abstract: | The paper presents an application of stochastic dominance approach to estimator evaluation. This new approach is general and applicable when a monetary loss function is defined over the deviation of a sample estimate from the appropriate parameter. The paper applies this approach to the evaluation of alternative estimators of the normal distribution variance |
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| Keywords: | stochastic dominance expected utility rule |
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