Estimating the scale parameter of an exponential distribution under progressive type II censoring

Abstract

We consider estimation of the scale parameter of an exponential distribution with unknown location under an arbitrary strictly convex loss function when samples are progressive type II censored. Stein-type procedures, improving upon the minimum risk equivariant (MRE) estimator, are obtained and illustrated upon using quadratic and entropy loss functions. We also study a class of improving estimators using the integral expression of risk difference (IERD) method and useful consequences are discussed. Some known procedures are shown to belong to the proposed class of estimators.