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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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