Linear Bayes estimator of the extreme value distribution based on type II censored samples

Abstract

In this paper, a linear Bayes method is employed to simultaneously estimate the location parameter and the scale parameter of the extreme value distribution. Based on type II censored samples, we construct the linear Bayes estimator (LBE) of the parameter vector and establish its superiority over the classical unbiased estimator in terms of the mean square error matrix criterion. The proposed LBE is easy to calculate, and numerical results are presented to verify that the LBE works well. The estimator is further applied to a real data case to demonstrate its feasibility.

Keywords:

• Extreme value distribution
• Lindley approximation
• Linear Bayes estimator
• Mean squared error matrix
• Tierney & Kadane approximation

Additional information

Funding

This work was partly supported by NNSF of China (11371051).