Shrinkage estimation of P(X>Y) in the exponential case with common location parameter
AbstractWe consider the problem of estimating R=P(X>Y) where X and Y have independent exponential distributions with parameters θ and λ respectively and a common location parameter μ. Assuming that there is a prior guess or estimate R 0 , we develop various shrinkage estimators of R that incorporate this prior information. The performance of the new estimators is investigated and compared with the maximum likelihood estimator using Monte Carlo methods. It is found that some of these estimators are very successful in taking advantage of the prior estimate available. Copyright Springer-Verlag 2004
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 59 (2004)
Issue (Month): 2 (05)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=102509
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.