Evaluating estimators using stochastic dominance rulesi the variance of a normal distribution

Moshe Ben-Horlm, Haim Levy

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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 languageEnglish
Pages (from-to)1071-1076
Number of pages6
JournalCommunications in Statistics - Theory and Methods
Volume11
Issue number9
DOIs
StatePublished - 1 Jan 1982

Keywords

  • expected utility
  • rule
  • stochastic dominance

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