Decision theoretic estimation using record statistics

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    9 Citations (Scopus)

    Abstract

    We consider the problem of estimating the scale parameter θ of the shifted exponential distribution with unknown shift based on a set of observed records drawn from a sequential sample of independent and identically distributed random variables. Under a large class of bowl-shaped loss functions, the best affine equivariant estimator (BAEE) of θ is shown to be inadmissible. Two dominating procedures are proposed. A numerical study is performed to show the extent of risk reduction that the improved estimators provide over the BAEE.

    Original languageEnglish
    Pages (from-to)91-97
    Number of pages7
    JournalMetrika
    Volume63
    Issue number1
    DOIs
    Publication statusPublished - Mar 2006

    Keywords

    • Entropy loss
    • Equivariant estimator
    • Exponential distribution
    • Improved estimation
    • Mean squared error
    • Record statistics
    • Risk reduction
    • Scale parameter

    ASJC Scopus subject areas

    • Statistics and Probability
    • Statistics, Probability and Uncertainty

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