Estimation of Common Variance in Normal Distribution Using Linex Loss Function

Abstract

Linex loss function is employed in the analysis of several central statistical estimation and prediction problem. Linex loss function which rises exponentially on one side of zero and almost linearly on the other side of zero. Linex loss function is used in both overestimation and underestimation. Preliminary test of significance has been used in various fields of investigation viz., analysis of variance regression analysis, agriculture, medicine and environmental science. In this paper author proposes a pooled estimator for the common variance in normal distribution and studies its property under Linex loss function. Author also proposes preliminary test estimator for the variance in normal distribution and studies its property and it is found that results are same as Adke et al (1987). In this paper author also suggests a preliminary test estimator for variance using Linex loss function.