60. Consider two independent samples from normal populations having the same variance 2, of respective sizes n
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60. Consider two independent samples from normal populations having the same variance σ2, of respective sizes n and m. That is, X1, . . . , Xn and Y1, . . . , Ym are independent samples from normal populations each having variance σ2. Let S2 x
and S2 y denote the respective sample variances. Thus both S2 x and S2 y are unbiased estimators of σ2. Show by using the results of Example 7.7b along with the fact that
where χ2 k is chi-square with k degrees of freedom, that the minimum mean square estimator of σ2 of the form λS2 x + (1 − λ)S2 y is
This is called the pooled estimator of σ2.
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Related Book For
Introduction To Probability And Statistics For Engineers And Scientists
ISBN: 9780125980579
3rd Edition
Authors: Sheldon M. Ross
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