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

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. Copyright Springer-Verlag 2004

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Year of publication:	2004
Authors:	Petropoulos, Constantinos ; Kourouklis, Stavros
Published in:	Metrika. - Springer. - Vol. 60.2004, 1, p. 15-24
Publisher:	Springer
Subject:	Decision theory \| Stein technique for the estimation of a scale parameter \| Quantile estimation \| Lomax (Pareto II) distributions

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005598583