Estimating the Common Mean of Possibly Different Normal Populations: A Simulation Study.

Relative efficiency of estimators of the common mean of possibly different normal populations N(mu, sigma[sup 2, sub i]) is investigated empirically. A weighted least squares estimator mu[sub 3], with weights based on a modification of minimum norm quadratic unbiased (MINQU) estimators of the sigma[sup 2, sub i], is found to be substantially more efficient than the maximum likelihood (ML) estimator of mu when the heterogeneity in the sigma[sub i] is small to moderate and the number of sample observations from a population is small. The jackknife t statistic for mu[sub 3] performed well in regard to both coverage probability and expected length of the confidence interval. [ABSTRACT FROM AUTHOR]