Parameter Estimation for a Multivariate Exponential Distribution

Abstract

Simple consistent estimates are derived for the parameters of a multivariate exponential distribution. The mean squared error of the estimates is computed, and a lower bound for their efficiency is derived. A precise lower bound for the efficiency is computed in the bivariate case. It does not seem feasible to compute the efficiency precisely in the multivariate case. Some attention is given to the behavior of the estimates when observations are rounded prior to analysis.