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Percentile estimators in location-scale parameter families under absolute loss

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Estimators of percentiles of location-scale parameter families are optimized based on median unbiasedness and absolute risk. Median unbiased estimators and minimum absolute risk estimators are shown to exist within a class of equivariant estimators and depend upon medians of two completely specified distributions. This work extends earlier findings to a larger class of equivariant estimators. These estimators are illustrated in the normal and exponential distributions.

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Correspondence to J. P. Keating.

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Keating, J.P., Mason, R.L. & Balakrishnan, N. Percentile estimators in location-scale parameter families under absolute loss. Metrika 72, 351–367 (2010).

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