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Heuristic Procedures for Simultaneous Estimation of Several Normal Means

Published online by Cambridge University Press:  27 July 2009

Chi-Hyuck Jun
Chi-Hyuck Jun
Affiliation:
Department ofIndustrial Engineering Pohang Institute of Science and Technology (POS TECH) Pohang, Korea
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Abstract

Simultaneous estimation problems that deal with the estimation of several means for normal distributions are considered under the squared-error loss. Heuristic procedures are presented which can be applied to parameter estimation problems for a wide class of distributions specified only by their means and variances. Explicit results are obtained for the heuristic shrinkage estimators in the normal distribution case. Limiting behavior of the relative risk savings of these estimators is studied. The performances of the proposed estimators for normal distribution means are compared with other existing estimators by a computer simulation.

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Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 2 , Issue 1 , January 1988 , pp. 95 - 113
Copyright
Copyright © Cambridge University Press 1988

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