Simultaneous estimation of log-normal coefficients of variation: Shrinkage and pretest strategies.

In this paper, we consider the problem of estimating the log-normal coefficients of variation when multiple samples from log-normal populations with unequal variances are combined. We suggest some efficient estimation methods based on pretest and JamesStein procedures. In a large-sample setup, we propose a test statistic (pretest) for testing the homogeneity assumption of log-normal coefficients of variation.