Improved estimation of extreme quantiles in the multivariate Lomax (Pareto II) distribution

被引：3
|
作者：
Petropoulos, C [1 ]
Kourouklis, S [1 ]
机构：
[1] Univ Patras, Dept Math, Patras 26500, Greece
来源：
METRIKA | 2004年 / 60卷 / 01期
关键词：
decision theory; Stein technique for the estimation of a scale parameter; quantile estimation; Lomax (Pareto II) distributions;
D O I：
10.1007/s001840300293
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Estimation of a quantile of the common marginal distribution in a multivariate Lomax (Pareto II) distribution with unknown location and scale parameters is considered. For quadratic loss and specified extreme quantiles, it is established that the best affine equivariant procedure is inadmissible by constructing a better estimator.
引用
收藏
页码：15 / 24
页数：10
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