A MINIMUM DISCRIMINATION INFORMATION SHRINKAGE TO INTERVAL ESTIMATOR OF THE NORMAL MEAN | Zendy

Kôichi Inada | Zendy; Hea-Jung Kim | Zendy

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A MINIMUM DISCRIMINATION INFORMATION SHRINKAGE TO INTERVAL ESTIMATOR OF THE NORMAL MEAN

Author(s) -

Kôichi Inada,

Hea-Jung Kim

Publication year - 1992

Publication title -

bulletin of informatics and cybernetics

Language(s) - English

Resource type - Journals

eISSN - 2435-743X

pISSN - 0286-522X

DOI - 10.5109/13423

Subject(s) - statistics , shrinkage estimator , shrinkage , mathematics , interval (graph theory) , estimator , interval estimation , confidence interval , minimum variance unbiased estimator , bias of an estimator , combinatorics

The minimum discrimination information (MDI) procedure for lowering the mean squared error (MSE) of the minimum variance unbiased estimator (MVUE) of the normal mean is considered. The procedure is employed to shrink the MVUE toward a preliminary conjectured interval under the information measure of Kullback and Leibler (1951). MDI estimator and its mean squared error are derived. The suggested estimator compares favorably with the previously proposed estimators in terms of mean squared error efficiency.

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