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Abstract
In estimation of percentiles in the exponential distribution, the distribution function evaluated at the estimated percentile is often evaluated for purposes of warranty considerations. Optimal estimators are discussed and compared on their error in the predicted distribution function. Inconsistency is shown to exist between measures of closeness and measures of risk in the predicted distribution function. An optimal estimator based on absolute loss in the predicted distribution function is obtained and shown to be superior in measures of closeness to the optimal estimator, which minimizes squared error loss in the predicted distribution function.