Efficient Estimation of P(Y < X) in the Exponential Case
Gary D. Kelley, Judy A. Kelley, William R. Schucany · Technometrics · 1976
The minimum variance unbiased estimator of P(Y < X) has been given for the situation in which X and Y are independently exponentially distributed. Using the rccacnt results of Blight and Rao [2] the variance of the UMVU estimator is derived. The mean-square error of the maximum likelihood estimator is obtained and used for comparison with the variance of the UMVUE.