| Abstract: | The author proposes the best shrinkage predictor of a preassigned dominance level for a future order statistic of an exponential distribution, assuming a prior estimate of the scale parameter is distributed over an interval according to an arbitrary distribution with known mean. Based on a Type II censored sample from this distribution, we predict the future order statistic in another independent sample from the same distribution. The predictor is constructed by incorporating a preliminary confidence interval for the scale parameter and a class of shrinkage predictors constructed here. It improves considerably classical predictors for all values of the scale parameter within its dominance interval containing the confidence interval of a preassigned level. |
