Estimating a quantile of an exponential distribution

Andrew L. Rukhin, William E. Strawderman

Research output: Contribution to journalArticle

22 Scopus citations

Abstract

We consider the problem of estimating a quantile ξ + bσ of an exponential distribution on the basis of a random sample of size n ≥ 2. Here ξ and σ are unknown location and scale parameters and b is a given constant. For quadratic loss, it is established that the best equivariant estimator (Equation presented) is inadmissible if 0 ≤ b < n-1or b > 1 + n1. For b > 1 + n1the estimator (Equation presented) elsewhere, provides a noticeable improvement over δ0.

Original languageEnglish (US)
Pages (from-to)159-162
Number of pages4
JournalJournal of the American Statistical Association
Volume77
Issue number377
DOIs
StatePublished - Mar 1982

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Best equivariant estimator
  • Inadmissibility
  • Location-scale parameter
  • Minimaxness
  • Quadratic loss
  • Quantile of the exponential distribution

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