Comparison of Estimators of Equity Return Standard Deviation Using Pitman Closeness Criterion and Control Charting Applications

On Pitman Closeness of Pitman Estimators

Pitman estimators of location are unbiased, translation-equivariant and possess some optimality properties under quadratic loss. Similar optimality properties of Pitman estimators are studied with respect to the measure of Pitman closeness of estimators.

Using Pitman Closeness to Compare Stock Return Models

This paper provides an alternate method of evaluating portfolio performance of stock pricing models. We apply Pitman Closeness Criterion to compare the accuracy of three popular pricing models. This comparison is used to assess which, if any, model outperforms the others. In assessing model performance over a long period of time, we find that the Fama-French three-factor model and the Carhart f...

comparison of estimators of standard deviation, mean moving range and median moving range to estimate process standard deviation using autocorrelated data

independence of observations is a fundamental assumption in designing an x chart for individual observations. but unfortunately, the assumption of existence of independent data is not even approximately satisfied. in fact, there is one kind of autocorrelation in the data. this paper demonstrates, through simulating an ar(1) process, that the autocorrelation in the data has deep effect on x char...

Pitman-Closeness of Preliminary Test and Some Classical Estimators Based on Records from Two-Parameter Exponential Distribution

In this paper, we study the performance of estimators of parametersof two-parameter exponential distribution based on upper records. The generalized likelihood ratio (GLR) test was used to generate preliminary test estimator (PTE) for both parameters. We have compared the proposed estimator with maximum likelihood (ML) and unbiased estimators (UE) under mean-squared error (MSE) and Pitman me...

Optimality of Blue and Ablue in the Light of the Pitman Closeness of Statistical Estimators