Improved estimation of extreme quantiles in the multivariate Lomax (Pareto II) distribution

Constantinos Petropoulos and Stavros Kourouklis ()

Metrika: International Journal for Theoretical and Applied Statistics, 2004, vol. 60, issue 1, 15-24

Abstract: Estimation of a quantile of the common marginal distribution in a multivariate Lomax (Pareto II) distribution with unknown location and scale parameters is considered. For quadratic loss and specified extreme quantiles, it is established that the best affine equivariant procedure is inadmissible by constructing a better estimator. Copyright Springer-Verlag 2004

Keywords: Decision theory; Stein technique for the estimation of a scale parameter; Quantile estimation; Lomax (Pareto II) distributions; 62C99; 62F10 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s001840300293

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