Abstract
We consider the problem of estimating the ratio θ 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 θ 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.
Original language | English |
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Pages (from-to) | 165-172 |
Number of pages | 8 |
Journal | Statistics and Probability Letters |
Volume | 78 |
Issue number | 2 |
DOIs | |
Publication status | Published - Feb 1 2008 |
Keywords
- Entropy loss
- Equivariant estimator
- Exponential distribution
- Improved estimation
- Inadmissible
- Mean squared error
- Record statistics
- Risk reduction
- Scale parameters
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty