ESTIMATION OF THE PARAMETER OF A POISSON DISTRIBUTION USING A LINEX LOSS FUNCTION

Abstract

Summary This paper considers estimation of the parameter of a Poisson distribution using Varian's (1975) asymmetric LINEX loss function L (δ) = b{exp(aδ) ‐ aδ ‐ 1}, where δ is the estimation error and b > 0, a 0. It is shown that for a < 0, the sample mean X¯ is admissible whereas for a > 0, X¯ is dominated by c*X¯, where c*= (n/a)log(1+a/n). Practical implications of this result are indicated. More general results, concerning the admissibility of estimators of the form cX¯+ d are also presented.