Mean square error efficient estimation of an exponential mean under an exchangeable single outlier model

This paper is concerned with estimating θ, the mean of an exponential distribution under a single outlier exchangeable model. It is a.ssumed that the single outlying observation is also exponential with mean θ/α, where 0 < α < 1. The estirnators proposed are weighted averages of the order statistics. The formulas for the weights minimizing the mean square error are presented. These weights are calculated for certain combinations of the sample size n and of α. It is found that the optimal weights very nearly have a certain form. The mean square errors of a simplified estitnator are compared lo those of Joshi (1972, 1988) and of Clhikkagoudar and Kunchur (1980). A nlodification of Joshi's iterative procedure is suggested.