Robust estimation of the ratio of scale parameters for positive random variables

Abstract

An estimator of the ratio of scale parameters of the distributions of two positive random variables is developed for the case where the only difference between the distributions is a difference in scale. Simulation studies demonstrate that the estimator performs much better, in terms of mean squared error, than the most popular one among those estimators currently available.

Keywords:

• transformation to normality
• cross-validation
• jackknife ratio of scale parameters estimator
• simulation