Estimation of the mean of a univariate normal distribution with known variance

DOI10.1111/1368-423X.t01-1-00082zbMath0992.62025MaRDI QIDQ4551781

Jan R. Magnus

Publication date: 28 August 2002

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Laplace distributionregretpretestneutral prior

Mathematics Subject Classification ID

Point estimation (62F10) Admissibility in statistical decision theory (62C15)

Related Items

SHRINKAGE EFFICIENCY BOUNDS ⋮ A comparison of two model averaging techniques with an application to growth empirics ⋮ PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? ⋮ Posterior moments and quantiles for the normal location model with Laplace prior ⋮ Sampling properties of the Bayesian posterior mean with an application to WALS estimation ⋮ Model averaging, asymptotic risk, and regressor groups ⋮ On weighted estimation in linear regression in the presence of parameter uncertainty ⋮ Monitoring process variability using auxiliary information ⋮ Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market ⋮ On the harm that ignoring pretesting can cause ⋮ A characterization of Bayesian robustness for a normal location parameter ⋮ Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk ⋮ Weighted-average least squares estimation of generalized linear models ⋮ A process variability control chart ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors ⋮ Estimation of the mean of a univariate normal distribution when the variance is not known ⋮ Further results on optimal critical values of pre‐test when estimating the regression error variance ⋮ A control chart using an auxiliary variable and repetitive sampling for monitoring process mean ⋮ Weighted-Average Least Squares Prediction ⋮ Optimal model averaging for divergent-dimensional Poisson regressions

Cites Work

• Unnamed Item
• Unnamed Item
• Statistical decision theory and Bayesian analysis. 2nd ed
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
• The Traditional Pretest Estimator
• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• Notation in econometrics: a proposal for a standard