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On sequential estimation of a normal distribution having equal mean and variance

Author

Listed:
  • Saralees Nadarajah

    (University of Manchester - UK)

  • Idika E. Okorie

    (University of Manchester - UK)

Abstract

Mukhopadhyay and Cicconetti \cite{mc2004} derived the Maximum Likelihood Estimator (MLE) and the Uniformly Minimum Variance Unbiased Estimator (UMVUE) of $\theta$ in $N (\theta, \theta)$ and discussed their application to purely sequential and two-stage bounded risk estimation of $\theta$. In this paper, a much simpler expression is derived for the UMVUE of $\theta$. Using this expression, a comprehensive investigation is provided for comparing the performances of the sequential estimators based on the MLE and the UMVUE.

Suggested Citation

  • Saralees Nadarajah & Idika E. Okorie, 2017. "On sequential estimation of a normal distribution having equal mean and variance," Statistica, Department of Statistics, University of Bologna, vol. 77(1), pages 53-63.
    • Handle: RePEc:bot:rivsta:v:77:y:2017:i:1:p:53-63
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