Improved estimators for the common mean and ordered means of two normal distributions with ordered variances |
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Authors: | Yuan-Tsung Chang Youhei Oono Nobuo Shinozaki |
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Institution: | 1. Department of Social Information, Mejiro University, Tokyo, Japan;2. Actuarial Division, Sony Life Insurance Co., Ltd., Japan;3. Department of Administration Engineering, Faculty of Science and Technology, Keio University, Yokohama, Japan |
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Abstract: | We first consider the problem of estimating the common mean of two normal distributions with unknown ordered variances. We give a broad class of estimators which includes the estimators proposed by Nair (1982) and Elfessi et al. (1992) and show that the estimators stochastically dominate the estimators which do not take into account the order restriction on variances, including the one given by Graybill and Deal (1959). Then we propose a broad class of individual estimators of two ordered means when unknown variances are ordered. We show that in estimating the mean with larger variance, estimators which do not take into account the order restriction on variances are stochastically dominated by the proposed class of estimators which take into account both order restrictions. However, in estimating the mean with smaller variance, similar improvement is not possible even in terms of mean squared error. We also show a domination result in the simultaneous estimation problem of two ordered means. Further, improving upon the unbiased estimators of the two means is discussed. |
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Keywords: | Restricted MLE Common mean Graybill&ndash Deal estimator Stochastic dominance |
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