Year: 1999
Type: article
Abstract: In this paper,we consider a multivariate one-way random effect model with equal replications. We propose nonnegative definite estimators for “between” and “within” components of variance. Under the Stein loss function, it is shown that the proposed estimators of the “within” component dominate the best unbiased estimator. Restricted maximum likelihood, truncated and order-preserving minimax estimators are also proposed. A Monte Carlo simulation is carried out to choose among these estimators. For estimating the “between” component, we consider the Stein loss function for jointly estimating the two positive definite matrices (“within” and “within” plus “between”) and obtain estimators for the “between” component dominating the best unbiased estimator. Other estimators as considered for “within” are also proposed. A Monte Carlo simulation is carried out to choose among these estimators.
Source: The Annals of Statistics
Authors: T. Kubokawa, M. S. Srivastava
Institutions: University of Toronto, The University of Tokyo
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
OpenAlex ID: W1598504382