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

Moshe Ben-Horlm; Haim Levy

doi:10.1080/03610928208828292

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

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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
Pages (from-to)	1071-1076
Number of pages	6
Journal	Communications in Statistics - Theory and Methods
Volume	11
Issue number	9
DOIs	https://doi.org/10.1080/03610928208828292
State	Published - 1 Jan 1982

Keywords

expected utility
rule
stochastic dominance

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10.1080/03610928208828292

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KW - rule

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

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Keywords

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