Okayama Economic Review
Published by the Economic Association of Okayama University

Online ISSN 2433-4146
Print ISSN 0386-3069

誤差分散のスタイン型改良信頼区間の最適性について

永田 靖
抄録
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.
備考
論説 (Article)
ISSN
0386-3069
NCID
AN00032897