Conditional Estimation in Exponential Models


Smail Mahdi


A two-sided conditional confidence interval for the parameter of an exponential probability distribution is constructed. The construction relies on a decision following a preliminary test of significance for the equality of two exponential population means. The coverage probability, the expected length together with the coefficient of variation of this interval are studied. A shrinkage version of the interval is also proposed. Furthermore, a numerical study on the accuracy of the interval estimator is performed.