A New Estimator of the Variance Based on Minimizing Mean Squared Error

DOI10.1080/00031305.2012.735209OpenAlexW2119100927WikidataQ58244433 ScholiaQ58244433MaRDI QIDQ5876925FDOQ5876925

Authors: Stavros Kourouklis 

Publication date: 2 February 2023

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00031305.2012.735209

zbMATH Keywords

variance estimationStein's methodadmissibility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Developments in decision-theoretic variance estimation. With comments and a rejoinder by the authors
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
• Minimax estimators of a normal variance
• A new class of minimax generalized Bayes estimators of a normal variance
• Minimax estimation of powers of the variance of a normal population under squared error loss
• Artificially Augmented Samples, Shrinkage, and Mean Squared Error Reduction*

Cited In (4)

• Adjusted variance estimators based on minimizing mean squared error for stratified random samples
• Title not available (Why is that?)
• On the inefficiency of the restricted maximum likelihood
• On the limiting distribution of sample central moments

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