Bayesian estimation for shifted exponential distributions

Mohamed T. Madi; Tom Leonard

doi:10.1016/S0378-3758(95)00199-9

Bayesian estimation for shifted exponential distributions

Mohamed T. Madi, Tom Leonard

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ₁, θ₂, . . . , θ_m and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter σ and the parametric function γ = Σ^m_i=1 a_iθ_i + bσ. Our proposed Bayesian estimators are compared, via a Monte Carlo study, to the invariant estimators proposed by Madi and Tsui (1990) and Rukhin and Zidek (1985) in terms of risk improvements on the best affine equivariant estimators.

Original language	English
Pages (from-to)	345-351
Number of pages	7
Journal	Journal of Statistical Planning and Inference
Volume	55
Issue number	3
DOIs	https://doi.org/10.1016/S0378-3758(95)00199-9
Publication status	Published - Nov 8 1996

Keywords

Bayes estimators
Risk improvements
Robustness
Scale parameter
Squared error loss

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/S0378-3758(95)00199-9

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abstract = "Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ1, θ2, . . . , θm and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter σ and the parametric function γ = Σmi=1 aiθi + bσ. Our proposed Bayesian estimators are compared, via a Monte Carlo study, to the invariant estimators proposed by Madi and Tsui (1990) and Rukhin and Zidek (1985) in terms of risk improvements on the best affine equivariant estimators.",

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AU - Leonard, Tom

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N2 - Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ1, θ2, . . . , θm and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter σ and the parametric function γ = Σmi=1 aiθi + bσ. Our proposed Bayesian estimators are compared, via a Monte Carlo study, to the invariant estimators proposed by Madi and Tsui (1990) and Rukhin and Zidek (1985) in terms of risk improvements on the best affine equivariant estimators.

AB - Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ1, θ2, . . . , θm and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter σ and the parametric function γ = Σmi=1 aiθi + bσ. Our proposed Bayesian estimators are compared, via a Monte Carlo study, to the invariant estimators proposed by Madi and Tsui (1990) and Rukhin and Zidek (1985) in terms of risk improvements on the best affine equivariant estimators.

KW - Bayes estimators

KW - Risk improvements

KW - Robustness

KW - Scale parameter

KW - Squared error loss

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EP - 351

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

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ER -

Bayesian estimation for shifted exponential distributions

Abstract

Keywords

ASJC Scopus subject areas

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