Sankhya: The Indian Journal of Statistics

2006, Volume 68, Pt. 2, 240--251

Estimation of a Quantile in a Mixture Model of Exponential Distributions with Unknown Location and Scale Parameters

Constantinos Petropoulos, University of Patras, Patras, Greece

SUMMARY. Estimation of a quantile in a mixture model of exponential distributions is considered. For quadratic loss and specified extreme quantiles, better estimators than the best affine equivariant procedure are established. In particular, improved estimators for a quantile of an exponential-inverse Gaussian distribution and the multivariate Lomax distribution with unknown location and scale parameters are derived.

AMS (2000) subject classification. 62C99, 62F10, 62H12.

Key words and phrases. Decision theory, Stein's estimator of a scale parameter, quantile estimation, mixture of exponential distributions, exponential-inverse Gaussian distribution, multivariate Lomax distribution.

Full paper (PDF)