Estimating normal tail probabilities

Andrew L. Rukhin

Naval Research Logistics Quarterly, 1986, vol. 33, issue 1, 91-99

Abstract: The estimation problem of normal tail probabilities is considered. The form of generalized Bayes estimators is derived and the asymptotic behavior of the mean square errors is studied. This study shows that the best unbiased estimator, a formula for which is given, is superior to the maximum likelihoood estimator or to a class of generalized Bayes procedures for large parametric values, but can be significantly improved for moderate values of the parameter.

Date: 1986
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https://doi.org/10.1002/nav.3800330108

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:33:y:1986:i:1:p:91-99

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