The UMVUE of P(X < Y) Based on Type-II censored samples from Weinman multivariate exponential distributions

The UMVUE of P(X < Y) Based on Type-II censored samples from Weinman multivariate exponential distributions

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Article ID: iaor19983118
Country: Germany
Volume: 46
Issue: 2
Start Page Number: 93
End Page Number: 121
Publication Date: Jan 1997
Journal: Metrika
Authors: ,
Abstract:

Based on two independent samples from Weinman multivariate exponential distributions with unknown scale parameters, uniformly minimum variance unbiased estimators (UMVUE) of P(X < Y) are obtained for both unknown and known common location parameter. The samples are permitted to be Type-II censored with possibly different numbers of observations. Since sampling from two-parameter exponential distributions is contained in the model as a particular case, known results for complete and censored samples are generalized. In the case of an unknown common location parameter with a certain restriction of the model, the UMVUE is shown to have a Gauss hypergeometric distribution, which is further examined. Moreover, explicit expressions for the variances of the estimators are derived and used to calculate the relative efficiency.

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