Empirical Bayes estimation of the guarantee lifetime in a two-parameter exponential distribution

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Title:	Empirical Bayes estimation of the guarantee lifetime in a two-parameter exponential distribution
Authors:	黃文濤;Huang, Wen-tao;Huang, Hui-hsin
Contributors:	淡江大學經營決策學系
Keywords:	Asymptotic optimality;Rate of convergence;Regret
Date:	2006-10-01
Issue Date:	2010-08-09 16:47:36 (UTC+8)
Publisher:	Elsevier
Abstract:	We study empirical Bayes estimation of the guarantee lifetime θ in a two-parameter exponential distribution having a probability density p(x\|θ,β)=(1/β)exp(-(x-θ)/β)I(x-θ) with unknown scale parameter β. An empirical Bayes estimator is proposed and its associated asymptotic optimality is studied. It is shown that is asymptotically optimal in the sense that its regret converges to zero at a rate n-2r/(2r+1), where n is the number of past observations available and r is a positive integer related to the prior distribution G.
Relation:	Statistics and Probability Letters 76(16), pp.1821-1829
DOI:	10.1016/j.spl.2006.04.034
Appears in Collections:	[Department of Management Sciences] Journal Article

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