Improved estimators for simultaneous estimation of variance components

Witold Klonecki and Stefan Zontek

Statistics & Probability Letters, 1996, vol. 29, issue 1, 33-43

Abstract: Simultaneous estimation of variance components under quadratic risk is discussed. The estimators considered are scale preserving and location invariant and permit a simple closed expression for risk. For several one-way random normal models, nonnegative estimators are constructed which are comparable to the maximum likelihood estimators and to some of Portnoy's (1971) estimators.

Keywords: Variance; components; Quadratic; risk; function; Improved; estimators; Bayesian; estimators (search for similar items in EconPapers)
Date: 1996
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