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Improved estimation of an exponential scale ratio based on records

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  • Madi, Mohamed T.

Abstract

We consider the problem of estimating the ratio [theta] 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 [theta] 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.

Suggested Citation

  • Madi, Mohamed T., 2008. "Improved estimation of an exponential scale ratio based on records," Statistics & Probability Letters, Elsevier, vol. 78(2), pages 165-172, February.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:2:p:165-172
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    References listed on IDEAS

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    1. Rukhin A. L. & Zidek J. V., 1985. "Estimation Of Linear Parametric Functions For Several Exponential Samples," Statistics & Risk Modeling, De Gruyter, vol. 3(3-4), pages 225-238, April.
    2. T. Madi, Mohamed, 2002. "On the invariant estimation of an exponential scale using doubly censored data," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 77-82, January.
    3. Mohamed Madi & Kam-Wah Tsui, 1990. "Estimation of the ratio of the scale parameters of two exponential distributions with unknown location parameters," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(1), pages 77-87, March.
    4. Mohamed Madi, 2006. "Decision theoretic estimation using record statistics," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(1), pages 91-97, February.
    5. Elfessi, Abdulaziz, 1997. "Estimation of a linear function of the parameters of an exponential distribution from doubly censored samples," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 251-259, December.
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