Empirical Bayes estimation of the guarantee lifetime in a two-parameter exponential distribution

Wen-Tao Huang and Hui-Hsin Huang

Statistics & Probability Letters, 2006, vol. 76, issue 16, 1821-1829

Abstract: We study empirical Bayes estimation of the guarantee lifetime [theta] in a two-parameter exponential distribution having a probability density p(x[theta],[beta])=(1/[beta])exp(-(x-[theta])/[beta])I(x-[theta]) with unknown scale parameter [beta]. An empirical Bayes estimator is proposed and its associated asymptotic optimality is studied. It is shown that is asymptotically optimal in the sense that its regret converges to zero at a rate n-2r/(2r+1), where n is the number of past observations available and r is a positive integer related to the prior distribution G.

Keywords: Asymptotic; optimality; Rate; of; convergence; Regret (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(06)00149-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:76:y:2006:i:16:p:1821-1829

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().