The Inadmissibility of Best Affine Invariant Estimation of Fractile of Exponential Distribution
Cong Ye · Huadong Shifan Daxue xuebao. Ziran kexue ban · 1984
Let X be a random variable with exponential distribution whose function is ?? where -∞μ∞, 0a+∞, both μ and σ being unknown, It is shown in this paper that under quadratic loss, the best affine invariant estimation of the fractile θ= μ+ησ, where η0 is known, is inadmissible.