Estimating the Common Mean of Several Normal Populations

Abstract

For $x_i \sim N(\mu, \sigma_i^2) (i = 1, 2,\cdots, n)$ and the $x_i$'s independent, this paper gives necessary and sufficient conditions under which the weighted average of the $x_i$'s, with weights proportional to inverses of the sample variances, has uniformly smaller variance than any of the $x_i$'s.