International Journal of Statistics and Reliability Engineering

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Vol 10, No 2:

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Comparative Study on Classical Estimation and Bayes Risk of the Shape Parameter of Pareto Type – I Distribution under Different Loss Functions

Abstract

In this paper, Pareto type –I distribution is proposed to compare the classical estimators such as the maximum likelihood estimator (MLE), uniformly minimum variance unbiased estimator (UMVUE) and minimum mean square error estimator (MiniMSE). The Bayes risk can be obtained by using non – informative and informative prior under different loss functions such as square error loss function (SELF), quadratic loss function (QLF), precautionary loss function (PLF) and entropy loss function (ELF) through simulation technique and real life problem. As per the result, it is observed that the MiniMSE is the best among the other proposed estimators and also found that the Bayes risk under QLF is the least one among all other loss functions namely SELF, PLF and ELF using informative and non-informative priors.

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ISSN(P) 2350-0174

ISSN(O) 2456-2378

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