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Estimation of an exponential quantile under pitman's measure of closeness
Authors:S Kourouklis
Abstract:We consider the problem of estimating a quantile of an exponential distribution with unknown location and scale parameters under Pitman's measure of closeness (PMC). The loss function is required to satisfy some mild conditions but is otherwise arbitrary. An optimal estimator is obtained in the class of location-scale-equivariant estimators, and its admissibility in the sense of PMC is investigated.
Keywords:Pitman's measure of closeness  admissibility  equivariance  loss function  62F10  62F11
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