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Decision-Theoretic Issues in Heterogeneity Variance Estimation



Andrew L. Rukhin


In a random-effects setting of meta-analysis the between-study variance estimation is studied from the decision-theoretic point of view. The problem concerns simultaneous inference on curve-confined natural parameters of independent heterogeneous chi-squared random variables with given degrees of freedom. A form of the Stein phenomenon for the suggested loss function is noted, and the exact minimax value is determined. Second order minimax estimators are also derived.
Electronic Journal of Statistics


Curved exponential family, DerSimonian-Laird procedure


Rukhin, A. (2015), Decision-Theoretic Issues in Heterogeneity Variance Estimation, Electronic Journal of Statistics (Accessed April 21, 2024)
Created February 8, 2015, Updated January 27, 2020