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Estimation of an exponential quantile under pitman's measure of closeness
Author(s) -
Kourouklis S.
Publication year - 1995
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315366
Subject(s) - closeness , quantile , estimator , measure (data warehouse) , mathematics , equivariant map , exponential function , scale (ratio) , statistics , exponential family , exponential distribution , scale parameter , class (philosophy) , econometrics , computer science , mathematical analysis , pure mathematics , artificial intelligence , geography , data mining , cartography
Abstract We consider the problem of estimating a quantile of an exponential distribution with unknown location and scale parameters under Pitman's measure of closeness (PMC). The loss function is required to satisfy some mild conditions but is otherwise arbitrary. An optimal estimator is obtained in the class of location‐scale‐equivariant estimators, and its admissibility in the sense of PMC is investigated.