Testimator of the scale parameter of the exponential distribution using linex loss function

Abstract

The present paper investigates the properties of a testimator of scale of an exponential distribution under Linex loss function. The risk function of testimator is derived and compared with that of an admissible estimator relative to Linex loss function. The shrinkage testimator is proposed which is the extension of testimator and its properties have been discussed. The level of significance of testimator is decided on the basis of Akaike information criterion following Hirano (1977, 1978). It is found that the testimator and shrinkage testimator dominates the admissible estimator in terms of risk in certain parametric space.