Double stage estimation of population variance

Summary Consider a normal population with mean μ and variance σ². We are interested in the estimation of population variance with the help of guess value σ ₀ ² and a sample of observations. In this paper, a double stage shrinkage estimator based on the shrinkage estimatorks ₁ ² +(1-k)σ ₀ ² ifs ₁ ² ∈R and the usual estimator ifs ₁ ² ∋R, whereR is some specified region, have been proposed. The expressions for bias and mean squared error have been obtained. Comparison with the usual estimators ² have been made. It was found that though the largest gain is obtained fork=0, we can use with 0≦k≦1/2 even when σ² is very close to σ ₀ ²