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- W2049649763 abstract "ABSTRACT Scale equivariant estimators of the common variance σ2, of correlated normal random variables, have mean squared errors (MSE) which depend on the unknown correlations. For this reason, a scale equivariant estimator of σ2 which uniformly minimizes the MSE does not exist. For the equi-correlated case, we have developed three equivariant estimators of σ2: a Bayesian estimator for invariant prior as well as two non-Bayesian estimators. We then generalized these three estimators for the case of several variables with multiple unknown correlations. In addition, we developed a system of confidence intervals which produce the desired coverage probability while being efficient in terms of expected length." @default.
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- W2049649763 date "2005-07-01" @default.
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- W2049649763 title "Inference on the Common Variance of Correlated Normal Random Variables" @default.
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