IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Shrinkage estimation of P(X>Y) in the exponential case with common location parameter

Listed author(s):
  • Ayman Baklizi
  • Abed El Qader El-Masri

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.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

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.

Article provided by Springer in its journal Metrika.

Volume (Year): 59 (2004)
Issue (Month): 2 (May)
Pages: 163-171

in new window

Handle: RePEc:spr:metrik:v:59:y:2004:i:2:p:163-171
DOI: 10.1007/s001840300277
Contact details of provider: Web page:

Order Information: Web:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.