Estimation and prediction for mixtures of the exponential distribution
Herbert E. Robbins · Proceedings of the National Academy of Sciences · 1980
Let x be a random variable whose distribution is an unknown mixture of exponentials with different means theta. From a random sample x(1),...,x(n) of x values we show that E(thetax > a) can be estimated for any given a > 0. We can therefore predict the average of all future observations taken on those x values in the sample that exceed a.