Estimating the ratio of two scale parameters: a simple approach |
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Authors: | Panayiotis Bobotas George Iliopoulos Stavros Kourouklis |
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Affiliation: | 1. Department of Mathematics, University of Patras, 26504, Patras, Greece 2. Department of Statistics and Insurance Science, University of Piraeus, 80 Karaoli & Dimitriou str., 18534, Piraeus, Greece
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Abstract: | We describe a simple approach for estimating the ratio ρ = σ
2/σ
1 of the scale parameters of two populations from a decision theoretic point of view. We show that if the loss function satisfies
a certain condition, then the estimation of ρ reduces to separately estimating σ
2 and 1/σ
1. This implies that the standard estimator of ρ can be improved by just employing an improved estimator of σ
2 or 1/σ
1. Moreover, in the case where the loss function is convex in some function of its argument, we prove that such improved estimators
of ρ are further dominated by corresponding ones that use all the available data. Using this result, we construct new classes
of double-adjustment improved estimators for several well-known convex as well as non-convex loss functions. In particular,
Strawderman-type estimators of ρ in general models are given whereas Shinozaki-type estimators of the ratio of two normal variances are briefly treated. |
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Keywords: | |
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