Estimating order scale parameters of two scale mixture of exponential distributions

Abstract

The scale mixture of the exponential distribution provides a flexible framework for modelling lifetime and reliability data. This model is widely used in survival analysis, biomedical studies, statistical finance, and other related disciplines. In this work, we investigate the estimation of the ordered scale parameter of two scale mixture of exponential distributions under Stein loss and symmetric loss functions. Under certain conditions, we prove the inadmissibility of the affine equivariant estimator and exhibit several improved estimators. Consequently, we propose a class of estimators that uniformly dominate the best affine equivariant estimators (BAEE). Furthermore, we have proved that the boundary estimator of this class is a generalized Bayes estimator. As an application, we have proposed improved estimators for the ordered scale parameters of the multivariate Lomax and exponential inverse Gaussian distributions. For each case, we have conducted a simulation study to compare the risk performance of the improved estimators. Finally, we have given two real-life data analysis for implementation purposes.

28 pages, 20 tables, 35 citations