Comparison of point estimators of normal percentiles
作者:
D. D. Dyer,
J. P. Keating,
O. L. Hensley,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1977)
卷期:
Volume 6,
issue 3
页码: 269-283
ISSN:0361-0918
年代: 1977
DOI:10.1080/03610917708812044
出版商: Marcel Dekker, Inc.
关键词: Pitman-closeness efficiency;mean squared efficiency;maximum likelihood estimator;minimum variance unbiased estimator;best invariant estimator;median unbiased estimator
数据来源: Taylor
摘要:
There are available several point estimators of the percentiles of a normal distribution with both mean and variance unknown. Consequently, it would seem appropriate to make a comparison among the estimators through some “closeness to the true value” criteria. Along these lines, the concept of Pitman-closeness efficiency is introduced. Essentially, when comparing two estimators, the Pit-man-closeness efficiency gives the “odds” in favor of one of the estimators being closer to the true value than is the other in a given situation. Through the use of Pitman-closeness efficiency, this paper compares (a) the maximum likelihood estimator, (b) the minimum variance unbiased estimator, (c) the best invariant estimator, and (d) the median unbiased estimator within a class of estimators which includes (a), (b), and (c). Mean squared efficiency is also discussed.
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