Admissibility and minimaxity results in the estimation problem of exponential quantiles

DOI10.1214/AOS/1176349851MaRDI QIDQ1080577zbMATH OpenOpenAlexFDO

Authors Andrew L. Rukhin

Publication date 1986

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349851

zbMATH Keywords

admissibilityexponential distributiongeneralized Bayes rulesminimax proceduresquadratic lossquantilesscale-equivariant procedures

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Minimax procedures in statistical decision theory (62C20) Point estimation (62F10)

Review text

Let \(X_ 1,X_ 2,...,X_ n\) be a random sample from an exponential distribution with unknown location-scale parameter (\(\xi\),\(\alpha)\) and consider the estimation of the quantiles \(\xi +b\alpha\). The author proves that the traditional estimator (best equivariant) is admissible under quadratic loss when \(n^{-1}\leq b\leq 1+n^{-1}\). Moreover, a class of minimax procedures is found when \(b>1+n^{-1}\). This class is shown to contain generalized Bayes rules and one of them is proved to be admissible within the class of scale-equivariant procedures.

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