Strawderman-type estimators for a scale parameter with application to the exponential distribution

It is shown that Strawderman's [1974. Minimax estimation of powers of the variance of a normal population under squared error loss. Ann. Statist. 2, 190–198] technique for estimating the variance of a normal distribution can be extended to estimating a general scale parameter in the presence of a nuisance parameter. Employing standard monotone likelihood ratio-type conditions, a new class of improved estimators for this scale parameter is derived under quadratic loss. By imposing an additional condition, a broader class of improved estimators is obtained. The dominating procedures are in form analogous to those in Strawderman [1974. Minimax estimation of powers of the variance of a normal population under squared error loss. Ann. Statist. 2, 190–198]. Application of the general results to the exponential distribution yields new sufficient conditions, other than those of Brewster and Zidek [1974. Improving on equivariant estimators. Ann. Statist. 2, 21–38] and Kubokawa [1994. A unified approach to improving equivariant estimators. Ann. Statist. 22, 290–299], for improving the best affine equivariant estimator of the scale parameter. A class of estimators satisfying the new conditions is constructed. The results shed new light on Strawderman's [1974. Minimax estimation of powers of the variance of a normal population under squared error loss. Ann. Statist. 2, 190–198] technique.