Estimation of the Pareto Parameter Under Entropy Loss

Abstract

Estimation of the Pareto parameter under the entropy loss function is considered on the basis of a random sample from the two-parameter form of the Pareto distribution in two cases, i. e. when the cut-off parameter is known and is unknown. When the cut-off parameter k is known, it is shown that in the restricted class (1.3), C_n-1 is UMRUE and is admissible. When k is unknown, we showed that in the restricted class (1.4), d_n-2 is UMRUE but is inadmissible. Estimators dominating d_n-2 are provided.