Performance of Preliminary Test Estimators for Error Variance Based on W, LR and LM Tests

• 作 者: HU Guikai LIN Jinguan
• 机 构: School of Science, East China University of Technology, Nanchang 330013, China;Institute of Statisti
• 出 处: 系统科学与复杂性学报（英文版）
• 发表日期: 2020年4期
• 关键词: Equality constraint error variance linear model preliminary test estimation

The performances of preliminary test estimators for error variance based on W,LR and LM tests in a normal linear model are considered in this paper.Firstly,the risks of the proposed estimators are derived and compared by theoretical analysis and numerical calculation,respectively.The results show that their risks are related to the equality constraint error and the critical value of test.Moreover,the minimum value of the risks can be achieved when the critical value of test equals to one.Secondly,the superiority conditions of the proposed estimators are discussed.Finally,the results are illustrated by a simulation example.