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

doi:10.18926/oer/41556

誤差分散のスタイン型改良信頼区間の最適性について

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永田靖

書誌事項

タイトル別名

Optimality of the Stein Type Confidence Interval of Variance
ゴサブンサンノスタインガタカイリョウシンライクカンノサイテキセイニツイテ

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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.