On the Shrinkage Estimation of Variance and Pitman Closeness Criterion for Large Samples
نویسندگان
چکیده
For a large class of distributions and large samples, it is shown that estimates of the variance σ2 and of the standard deviation σ are more often Pitman closer to their target than the corresponding shrinkage estimates which improve the mean squared error. Our results indicate that Pitman closeness criterion, despite its controversial nature, should be regarded as a useful and complementary tool for the evaluation of estimates of σ2 and of σ. Index Terms — Variance estimation, standard deviation, shrinkage, Pitman closeness, mean squared error. 2010 Mathematics Subject Classification: 62F10, 62C15.
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