Biases of the maximum likelihood and Cohen-Sackrowitz estimators for the tree-order model
AbstractConsider s+1 univariate normal populations with common variance [sigma]2 and means [mu]i, i=0,1,...,s, constrained by the tree-order restrictions [mu]i[greater-or-equal, slanted][mu]0, i=1,2,...,s. For certain sequences [mu]0,[mu]1,... the maximum likelihood-based estimator (MLBE) of [mu]0 diverges to -[infinity] as s-->[infinity] and its bias is unbounded. By contrast, the bias of an alternative estimator of [mu]0 proposed by Cohen and Sackrowitz (J. Statist. Plan. Infer. 107 (2002) 89-101) remains bounded. In this note the biases of the MLBEs of the other components [mu]1,[mu]2,... are studied and compared to the biases of the corresponding Cohen-Sackrowitz estimators (CSE). Unlike the MLBE of [mu]0, the MLBEs of [mu]i for i[greater-or-equal, slanted]1, are asymptotically unbiased in most cases. By contrast, the CSEs of [mu]i, i=1,2,...,s more often have nonzero asymptotic bias.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 71 (2005)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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