Mean Square Errors of the Best Unbiased and Maximum Likelihood Estimators of Tail Probabilities in Normal Distributions
正态分布尾概率的最优无偏估计与最大似然估计的均方误差
Formulas for the variance of the uniformly minimum variance unbiased (UMVU) estimator, and of the mean square error (MSE) of the maximum likelihood (ML) estimator, of tail probabilities of normal distributions are derived. Relative efficiency values of these estimators of samples of size 6, 12, 18 and tail probabilities .025, .05, .10, .2, .3, .4, .5 are presented. The bias of the ML estimator for these cases is also given. The formulas developed involve incomplete moments…