2022/09/22 by Naresh Kumar Garg, Neeraj Misra, Garg, Naresh +1
Economics, Econometrics and Finance · Mathematics · #62C99 #62F10 #62F30 #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2209.10803
openalex publication_date 2022/09/22 · openalex created_date 2022/09/25 · openalex updated_date 2026/07/28
We consider component-wise estimation of order restricted location/scale parameters of a general bivariate location/scale distribution under the generalized Pitman nearness criterion (GPN). We develop some general results that, in many situations, are useful in finding improvements over location/scale equivariant estimators. In particular, under certain conditions, these general results provide improvements over the unrestricted Pitman nearest location/scale equivariant estimators and restricted maximum likelihood estimators. The usefulness of the obtained results is illustrated through their applications to specific probability models. A simulation study has been considered to compare how well different estimators perform under the GPN criterion with a specific loss function.