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Some Admissible Estimators in Extreme Value Densities
Published online by Cambridge University Press: 20 November 2018
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Let X be a random variable having the extreme value density of the form
(1)
where r is assumed to be a positive Lebesgue measurable function of x and the function q is defined by
for all θ in Ω = (0, ∞). It is further assumed that q(θ) approaches zero as θ → ∞.
In this note we are concerned with estimating parametric functions g(θ) of the form [1/q(θ)]α, α any real number. The loss function is assumed to be squared error and the estimators are assumed to be functions of a single observation X.
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- Copyright © Canadian Mathematical Society 1975
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