Estimating normal tail probabilities
作者:
Andrew L. Rukhin,
期刊:
Naval Research Logistics Quarterly
(WILEY Available online 1986)
卷期:
Volume 33,
issue 1
页码: 91-99
ISSN:0028-1441
年代: 1986
DOI:10.1002/nav.3800330108
出版商: Wiley Subscription Services, Inc., A Wiley Company
数据来源: WILEY
摘要:
AbstractThe estimation problem of normal tail probabilities is considered. The form of generalized Bayes estimators is derived and the asymptotic behavior of the mean square errors is studied. This study shows that the best unbiased estimator, a formula for which is given, is superior to the maximum likelihoood estimator or to a class of generalized Bayes procedures for large parametric values, but can be significantly improved for moderate values of the parameter.
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