Abstract

ZAKERZADEH, HOJATOLLAH; JAFARI, ALI AKBAR  and  KARIMI, MAHDIEH. Optimal Shrinkage Estimations for the Parameters of Exponential Distribution Based on Record Values. Rev.Colomb.Estad. [online]. 2016, vol.39, n.1, pp.33-44. ISSN 0120-1751.

This paper studies shrinkage estimation after the preliminary test for the parameters of exponential distribution based on record values. The optimal value of shrinkage coefficients is also obtained based on the minimax regret criterion. The maximum likelihood, pre-test, and shrinkage estimators are compared using a simulation study. The results to estimate the scale parameter show that the optimal shrinkage estimator is better than the maximum likelihood estimator in all cases, and when the prior guess is near the true value, the pre-test estimator is better than shrinkage estimator. The results to estimate the location parameter show that the optimal shrinkage estimator is better than maximum likelihood estimator when a prior guess is close to the true value. All estimators are illustrated by a numerical example.

Keywords : Exponential Distribution; Minimax Regret; Record Value; Risk Function; Shrinkage Estimator.

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