Estimation of P(Y < X) for the Lévy distribution

Yıl 2016, Cilt: 45 Sayı: 3, 957 - 972, 01.06.2016

Hosein Najarzadegan Saman Babaii Sadegh Rezaei Saralees Nadarajah

Öz

Three point estimators and two interval estimators of P(Y < X) are

derived when X and Y are independent Lévy random variables. Their

performance with respect to relative biases, relative mean squared errors,

coverage probabilities, and coverage lengths is assessed by simulation

studies and a real data application.

Anahtar Kelimeler

Bayesian estimator, Bootstrap condence interval, Lévy distribution, Maximum likelihood estimator, Uniformly minimum variance unbiased estimator

Kaynakça

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