Empirical Bayes estimation of the guarantee lifetime in a two-parameter exponential distribution
We study empirical Bayes estimation of the guarantee lifetime [theta] in a two-parameter exponential distribution having a probability density p(x[theta],[beta])=(1/[beta])exp(-(x-[theta])/[beta])I(x-[theta]) with unknown scale parameter [beta]. An empirical Bayes estimator is proposed and its associated asymptotic optimality is studied. It is shown that is asymptotically optimal in the sense that its regret converges to zero at a rate n-2r/(2r+1), where n is the number of past observations available and r is a positive integer related to the prior distribution G.
Year of publication: |
2006
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Authors: | Huang, Wen-Tao ; Huang, Hui-Hsin |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 16, p. 1821-1829
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Publisher: |
Elsevier |
Keywords: | Asymptotic optimality Rate of convergence Regret |
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