Improved estimation of an exponential scale ratio based on records

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    5 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)165-172
    Number of pages8
    JournalStatistics and Probability Letters
    Volume78
    Issue number2
    DOIs
    Publication statusPublished - 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

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