Abstract
Abstract Given a normally distributed random sample with known mean and unknown variance σ2, two stage estimation method is used to estimate σ2, utilizing some available prior information. The mean square errors (MSE) of the new estimators are compared to that of the usual estimator of σ2, namely, the sample variance. It turns out that, when the actual value of σ2 is not too inconsistent with the prior information, the new estimators are much better than the usual estimator of σ2.
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