Empirical Bayes analysis of record statistics based on linex and quadratic loss functions

In this paper, the empirical Bayes estimate is derived for the parameter of the exponential model based on record statistics. The estimate is obtained using the squared error loss and Varianʹs linear-exponential (LINEX) loss functions, and is compared with the corresponding maximum likelihood and Bayes estimates. Empirical Bayes prediction bounds for future record values are also obtained. A numerical example is given to illustrate the results of prediction and a Monte Carlo simulation is used to investigate the accuracy of estimation.