Estimation of P[Y < X] for generalized Pareto distribution

被引：95

作者：

Rezaei, Sadegh ^{[1
]}

Tahmasbi, Rasool ^{[2
]}

Mahmoodi, Manijeh ^{[2
]}

机构：

[1] Shahid Chamran Univ Ahvaz, Dept Stat, Ahvaz, Iran

[2] Amirkabir Univ Technol Polytech, Dept Stat, Tehran, Iran

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2010年 / 140卷 / 02期

关键词：

Bayes estimator; Generalized Pareto distribution; Maximum likelihood estimator; Bootstrap confidence intervals; Asymptotic distributions; STRESS-STRENGTH; RELIABILITY; INFERENCE; P(Y-LESS-THAN-X);

D O I：

10.1016/j.jspi.2009.07.024

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：

This paper deals with the estimation of P[Y < X] when X and Y are two independent generalized Pareto distributions with different parameters. The maximum likelihood estimator and its asymptotic distribution are obtained. An asymptotic confidence interval of P[Y < X] is constructed using the asymptotic distribution. Assuming that the common scale parameter is known, MLE, UMVUE, Bayes estimation of R and confidence interval are obtained. The ML estimator of R, asymptotic distribution and Bayes estimation of R in general case is also studied. Monte Carlo simulations are performed to compare the different proposed methods. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：480 / 494

页数：15

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Estimation of P[Y &lt; X] for generalized Pareto distribution

Estimation of P[Y < X] for generalized Pareto distribution