Estimation of the Minimum Mean of Normal Population under the Tree Order Restriction

Abstract: We consider (s+1) univariate normal populations with common variance σ2 and means μi, i=0,1,2,...,s, constrained by the tree order restriction μ0 ≤ μi, i=1,2,...,s. The maximum likelihood estimator of μ0 is known to diverge to -∞ a.s. as s → ∞ if all means μi are bounded and all sample sizes ni remain finite. However, this is not true if the means are unbounded or more importantly if n0 increases with s, which is the case of most practical interest. In such cases it can be shown that the m.l.e. of μ0 is consistent, or at least bounded from below. The consistency of a modified version of a estimator due to Cohen and Sackrowitz (2002) also will be discussed.