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
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.