Improved estimators for simultaneous estimation of variance components

Simultaneous estimation of variance components under quadratic risk is discussed. The estimators considered are scale preserving and location invariant and permit a simple closed expression for risk. For several one-way random normal models, nonnegative estimators are constructed which are comparable to the maximum likelihood estimators and to some of Portnoy's (1971) estimators.

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Year of publication:	1996
Authors:	Klonecki, Witold ; Zontek, Stefan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 29.1996, 1, p. 33-43
Publisher:	Elsevier
Keywords:	Variance components Quadratic risk function Improved estimators Bayesian estimators

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259118