Shrinkage estimation of P(X>Y) in the exponential case with common location parameter
We 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
Volume (Year): 59 (2004)
Issue (Month): 2 (05)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/statistics/journal/184/PS2|
When requesting a correction, please mention this item's handle: RePEc:spr:metrik:v:59:y:2004:i:2:p:163-171. See general 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.