Abstract
The paper presents an application of stochastic dominance approach to estimator evaluation. This new approach is general and applicable when a monetary loss function is defined over the deviation of a sample estimate from the appropriate parameter. The paper applies this approach to the evaluation of alternative estimators of the normal distribution variance.
Original language | English |
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Pages (from-to) | 1071-1076 |
Number of pages | 6 |
Journal | Communications in Statistics - Theory and Methods |
Volume | 11 |
Issue number | 9 |
DOIs | |
State | Published - 1 Jan 1982 |
Keywords
- expected utility
- rule
- stochastic dominance