The problem of simultaneous estimation of order restricted location parameters θ 1 and θ 2 ( − ∞ < θ 1 ≤ θ 2 < ∞ ) of a bivariate symmetric distribution, under a general loss function, is being considered. We unify many results proved in the literature by considering a general bivariate symmetric model and a quite general loss function. We use the Stein [Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean. Ann Inst Statist Math. 1964;16:155–160] and the Kubokawa [A unified approach to improving equivariant estimators. Ann Statist. 1994;22(1):290–299] techniques to derive estimators that improve upon the natural location equivariant estimator under a general loss function. We see that the improved Stein [Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean. Ann Inst Statist Math. 1964;16:155–160] type estimator is robust with respect to the choice of bivariate symmetric distribution and the loss function. It only requires the loss function to satisfy some generic conditions for providing improvement. A simulation study and a real-life data analysis are also carried out to validate the findings of the paper.
Read full abstract