Improved estimation of an exponential scale ratio based on records

Mohamed T. Madi

Statistics & Probability Letters, 2008, vol. 78, issue 2, 165-172

Abstract: We consider the problem of estimating the ratio [theta] of the scale parameters of two shifted exponential distributions with unknown shifts, based on two independent samples of records drawn from sequential samples of independent and identically distributed random variables. Under a large class of bowl-shaped loss functions, the best affine equivariant estimator (BAEE) of [theta] is shown to be inadmissible. Four new classes of dominating procedures are proposed. A numerical study is performed to show the extent of risk reduction that the improved estimators provide over the BAEE.

Keywords: Scale; parameters; Exponential; distribution; Risk; reduction; Equivariant; estimator; Improved; estimation; Mean; squared; error; Entropy; loss; Inadmissible; Record; statistics (search for similar items in EconPapers)
Date: 2008
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