TITLE

SHRINKAGE PRE-TEST ESTIMATOR OF THE UNIVARIATE NORMAL MEAN

AUTHOR(S)
Yüksel, Güzin; Billor, Nedret; Ünal, Deniz
PUB. DATE
September 2010
SOURCE
Pakistan Journal of Statistics;2010, Vol. 26 Issue 3, p461
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
60618169

 

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