Inference on P(Y < X) Based on Ranked Set Sample for Generalized Pareto Distribution

Abstract

In this paper, the problem of estimation of R = P(Y < X) based on ranked set sampling, when (X,Y) follows generalised Pareto distribution (GPD) is considered. The maximum likelihood (ML) estimators and Bayes estimators of R are obtained. A Monte Carlo simulation is also performed to study the behaviour of different estimators.

Keywords

• ranked set sample
• generalised pareto distribution
• maximum likelihood estimator
• bayesian estimator