INADMISSIBILITY OF AN ESTIMATOR FOR THE RATIO OF VARIANCE-COMPONENTS

被引：3

作者：

DAS, K ^{[1
]}

MENEGHINI, Q ^{[1
]}

GIRI, NC ^{[1
]}

机构：

[1] UNIV MONTREAL,MONTREAL H3C 3J7,QUEBEC,CANADA

来源：

STATISTICS & PROBABILITY LETTERS | 1990年 / 10卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

equivariance; inadmissibility; likelihood; Random effects model; restricted maximum likelihood; shrinkage;

D O I：

10.1016/0167-7152(90)90011-U

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The problem of estimation of the ratio of variance components is considered from the invariance point of view. This approach actually paves the way for proving the inadmissibility of the optimal estimator developed by Loh (1986). A class of shrinkage estimators is also proposed. These estimators dominate the ML, REML and even in some cases, Bayes modal estimators, although this is not true for the optimal estimator. Numerical comparisons are made to establish the appealing behaviour of the proposed estimators. © 1990.

引用

页码：151 / 157

页数：7

共 6 条

[1] MEAN SQUARE EFFICIENCY OF ESTIMATORS OF VARIANCE COMPONENTS [J].