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Estimation of variance in bivariate normal distribution after the preliminary test of homogeneity

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  • Juan Manuel Romero-Padilla
  • Chein-Pai Han

Abstract

A preliminary test estimator of variance in the bivariate normal distribution is proposed after the Pitman–Morgan test of homogeneity of two variances. The bias and mean square error of the estimator are derived. The relative efficiency (RE) of the preliminary test estimator is studied. Computations and 3D graphs of RE for different parameters are analyzed. In order to get the maximum RE, recommendations of the significance level for the preliminary test are given for various sample sizes by using the max–min criterion.

Suggested Citation

  • Juan Manuel Romero-Padilla & Chein-Pai Han, 2017. "Estimation of variance in bivariate normal distribution after the preliminary test of homogeneity," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(3), pages 1290-1305, February.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:3:p:1290-1305
    DOI: 10.1080/03610926.2015.1014114
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    Cited by:

    1. Ozcan, Mustafa, 2019. "Factors influencing the electricity generation preferences of Turkish citizens: Citizens' attitudes and policy recommendations in the context of climate change and environmental impact," Renewable Energy, Elsevier, vol. 132(C), pages 381-393.

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