A class of minimax estimators of a normal quantile

Andrew L. Rukhin

Statistics & Probability Letters, 1983, vol. 1, issue 5, 217-221

Abstract: The estimation problem of the quantiles of a normal distribution with both parameters unknown, is considered. We construct a class of minimax procedures each of which improves upon the traditional (best equivariant) estimator of a quantile different from the median. For this purpose a differential inequality and a family of its solutions is found.

Keywords: Normal; quantiles; estimation; quadratic; loss; minimaxness; equivariant; procedures; admissibility; differential; inequality (search for similar items in EconPapers)
Date: 1983
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