COMPARISON OF THE ITERATIVE STEIN-RULE AND THE USUAL ESTIMATORS OF THE ERROR VARIANCE UNDER THE PITMAN NEARNESS CRITERION

Authors : Deniz ÜNAL, Güzin YÜKSEL

Pages : 351-356

View : 15 | Download : 6

Publication Date : 2009-03-01

Article Type : Research Paper

Abstract :The iterative Stein-rule estimator and the usual estimator of the error variance are compared under the Pitman Nearness Criterion. An exact expression of Pitman’s Nearness probability is derived and numerically evaluated.
Keywords : Iterative Stein rule estimator, Pitman Nearness Criterion, Stein rule estimator, 2000 AMS Classification 62 J 05