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General Variance Modifications for Linear Bayes Estimators

Michael Goldstein

Journal of the American Statistical Association · 1983 · Volume 78 · Issue 383

DOI: 10.1080/01621459.1983.10478019

Abstract

We consider the problem of modifying the linear Bayes estimator for the mean of a distribution of unknown form by using an estimate of sample variance. The general conditions under which there is no advantageous variance modification to the linear Bayes rule are identified. These results are applied to the problem of sampling from a normal distribution with unknown mean and variance, and the implications are discussed.

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