Estimation of the location parameter and the average worth of the selected subset of two parameter exponential populations under LINEX loss function

Abstract

Suppose a subset of populations is selected from k exponential populations with unknown location parameters θ 1 , θ 2 , ..., θ k and common known scale parameter σ. We consider the estimation of the location parameter of the selected population and the average worth of the selected subset under an asymmetric LINEX loss function. We show that the natural estimator of these parameters is biased and find the Uniformly Minimum Risk Unbiased (UMRU) estimator of these parameters. In the case of k = 2, we find the minimax estimator of the location parameter of the smallest selected population. Furthermore, we compare numerically the risk of UMRU, minimax and the natural estimators.