Abstract
Consider the problem of estimating the variance based on a random sample from a normal distribution with unknown mean. In this article we review the rich literature developed over the last three decades on the problem of variance estimation in a decision theoretic setup. While examining the developments we point out a few errors that exist in the literature.
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Pal, N., Ling, C. & Lin, JJ. Estimation of a normal variance—A critical review. Statistical Papers 39, 389–404 (1998). https://doi.org/10.1007/BF02927101
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DOI: https://doi.org/10.1007/BF02927101