On the nonexistence of a global nonnegative minimum bias invariant quadratic estimator of variance components

Sujuan Gao and T. M. F. Smith

Statistics & Probability Letters, 1995, vol. 25, issue 2, 117-120

Abstract: We consider nonnegative invariant quadratic estimation of variance components and prove that if there does not exist a nonnegative quadratic unbiased estimator of variance components, there does not exist a nonnegative invariant quadratic estimator with a global minimum bias. The result demonstrates that any nonnegative invariant quadratic estimator can only achieve local minimum bias and explains existing numerical results.

Keywords: Variance; components; Nonnegative; quadratic; estimator; Minimum; bias (search for similar items in EconPapers)
Date: 1995
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