Abstract
The problem of estimating linear functions of ordered scale parameters of two Gamma distributions is considered. A necessary and sufficient condition on the ratio of two coefficients is given for the maximum likelihood estimator (MLE) to dominate the crude unbiased estimator (UE) in terms of mean square error. A modified MLE which satisfies the restriction is also suggested, and a necessary and sufficient condition is also given for it to dominate the admissible estimator based solely on one sample. The estimation of linear functions of variances in two sample problem and also of variance components in a one-way random effect model is mentioned.
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Chang, YT., Shinozaki, N. A Comparison of Restricted and Unrestricted Estimators in Estimating Linear Functions of Ordered Scale Parameters of Two Gamma Distributions. Annals of the Institute of Statistical Mathematics 54, 848–860 (2002). https://doi.org/10.1023/A:1022423704516
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DOI: https://doi.org/10.1023/A:1022423704516