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

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Abstract

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.

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Authors and Affiliations

  1. School of Science, East China University of Technology, Nanchang, 330013, China

    Guikai Hu

  2. Institute of Statistics and Big Data, Nanjing Audit University, Nanjing, 211815, China

    Jinguan Lin

Authors
  1. Guikai Hu
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  2. Jinguan Lin
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Correspondence to Guikai Hu.

Additional information

This research was supported by the National Natural Science Foundation of China under Grant Nos. 11661003, 11571073, 11831008, 11971235, the Natural Science Foundation of Jiangxi Province under Grant Nos. 20161BAB201033, 20192BAB201006, Science and Technology Project of Education Department of Jiangxi Province under Grant Nos. GJJ150582, GJJ160559.

This paper was recommended for publication by Editor XU Jin.

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Hu, G., Lin, J. Performance of Preliminary Test Estimators for Error Variance Based on W, LR and LM Tests. J Syst Sci Complex 33, 1200–1211 (2020). https://doi.org/10.1007/s11424-019-8149-5

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  • DOI: https://doi.org/10.1007/s11424-019-8149-5

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