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Inadmissibility of the uniformly minimum variance unbiased estimator of the inverse gaussian variance |
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| Authors: | H.K. Hseih R.M. Korwar |
| Affiliation: | Department of Mathematics and Statistics , University of Massachusetts , Amherst, MA, 01003 |
| Abstract: | The uniformly minimum variance unbiased estimator (UMVUE) of the variance of the inverse Gaussian distribution is shown to be inadmissible in terms of the mean squared error, and a dominating estimator is given. A dominating estimator to the maximum likelihood estimator (MLE) of the variance and estimators dominating the MLE's and the UMVUE's of other parameters are also given. |
| Keywords: | Inadmissibility mean squared error inverse Gaussian distribution variance uniformly minimum variance unbiased estimator maximum likelihood estimator |