Estimation of variance in bivariate normal distribution after the preliminary test of homogeneity

Juan Manuel Romero-Padilla and Chein-Pai Han

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 3, 1290-1305

Abstract: A preliminary test estimator of variance in the bivariate normal distribution is proposed after the Pitman–Morgan test of homogeneity of two variances. The bias and mean square error of the estimator are derived. The relative efficiency (RE) of the preliminary test estimator is studied. Computations and 3D graphs of RE for different parameters are analyzed. In order to get the maximum RE, recommendations of the significance level for the preliminary test are given for various sample sizes by using the max–min criterion.

Date: 2017
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DOI: 10.1080/03610926.2015.1014114

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