SHRINKAGE PRE-TEST ESTIMATOR OF THE UNIVARIATE NORMAL MEAN

Yüksel G., Billor N., Ünal D.

PAKISTAN JOURNAL OF STATISTICS, cilt.26, sa.3, ss.461-477, 2010 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26 Sayı: 3
  • Basım Tarihi: 2010
  • Dergi Adı: PAKISTAN JOURNAL OF STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.461-477
  • Çukurova Üniversitesi Adresli: Evet

Özet

Estimation of the mean of a univariate normal population with, unknown variance is a well-known problem in the presence of an uncertain prior information. In this study, we propose a new estimator, shrinkage pre-test estimator, which is a combination of pre-test and shrinkage estimators. The mean squared error (MSE) for the shrinkage pre-test estimator is also derived and theoretical comparisons based on MSE criterion of this new estimator with the restricted, the pre-test, and the shrinkage estimators are given. We show that the shrinkage pre-test estimator performs better than the other existing estimators. In addition, the performance of this newly proposed estimator is being assessed by conducting a simulation study.