Okayama Economic Review
Published by the Economic Association of Okayama University

誤差分散のスタイン型改良信頼区間の最適性について

Nagata, Yasushi
Abstract
In this paper the optimality of the Stein type confidence interval of the disturbance variance among the class of pre-test confidence interval after the pre-test for a linear hypothesis on coefficients is considered. The Stein type confidence interval is a member in the class with a critical value, say c. It is known that the Stein type confidence interval is the best in the subclass which consists of the pre-test confidence intervals with a smaller critical value than c. It is shown that an extension of the optimality to a larger class is not possible.
Note
論説 (Article)
ISSN
0386-3069
NCID
AN00032897
NAID