A Class of Improved Estimators for the Scale Parameter of a Mixture Model of Exponential Distribution with Unknown Location

Abstract

Under Stein's loss, a class of improved estimators for the scale parameter of a mixture of exponential distribution with unknown location is constructed. The method is analogous to Maruyama's (1998) construction for the variance of a normal distribution and also an extension of the result produced in Petropoulos and Kourouklis (2002). Also, robustness properties are considered.

Keywords:

• Brewster's and Zidek's estimator of a scale parameter
• Decision theory
• Exponential-inverse Gaussian distribution
• Mixture of exponential distributions
• Multivariate Lomax distribution
• Stein's estimator of a scale parameter

Mathematics Subject Classification:

• 62C99
• 62F10
• 62H12