Abstract
A method of minimising the mean square error (MSE) of the modified shrunken estimator of the scale parameter of the exponential population is considered. The method used is modified shrinkage of the minimum variance unbiased linear estimator (MVULE) towards a prior in the parameter space. The modified shrunken estimator is: (i) independent of prior θ 0; (ii) better than the MVULE given by Epstein and Sobel; (iii) better than the shrunken estimator given by Thompson, in the sense of having a smaller MSE.
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