On the improved estimation of error variance and order restricted normal variances (Statistical Inference of Records and Related Statistics)
Youhei Oono, Nobuo Shinozaki · Kyoto University Research Information Repository (Kyoto University) · 2005
We consider the estimation of error variance and construct a class of estim a- tors which uniformly improve upon the usual estimators.We also consider the estimation of order restricted normal variances.We give a class of isotonic regression estimators which uniformly improve upon the usual estimators including the unbiased estimator, the unrestricted maximum like- lihood estimator and the best scale and translation equivariant estimator under various types of order restrictions.They are discussed under entropy loss and under squared error loss.