Bayesian estimation for shifted exponential distributions

Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ 1, θ 2, …, θ m and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter...

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Bibliographic Details
Published in:Journal of statistical planning and inference 1996-11, Vol.55 (3), p.345-351
Main Authors: Madi, Mohamed T., Leonard, Tom
Format: Article
Language:English
Subjects:
Bayes estimators
Distribution theory
Exact sciences and technology
Mathematics
Parametric inference
Probability and statistics
Risk improvements
Robustness
Scale parameter
Sciences and techniques of general use
Squared error loss
Statistics
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Summary:Consider m random samples which are independently drawn from m shifted exponential distributions, with respective location parameters θ 1, θ 2, …, θ m and common scale parameter σ. On the basis of the given samples and in a Bayesian framework, we address the problem of estimating the scale parameter σ and the parametric function γ = ∑ m i=1 a i θ i + bσ. Our proposed Bayesian estimators are compared, via a Monte Carlo study, to the invariant estimators proposed by Madi and Tsui (1990) and Rukhin and Zidek (1985) in terms of risk improvements on the best affine equivariant estimators.
ISSN:0378-3758
1873-1171
DOI:10.1016/S0378-3758(95)00199-9