Pitman Closeness Comparison of Best Linear Unbiased and Invariant Predictors for Exponential Distribution in One- and Two-Sample Situations

Best linear unbiased, best linear invariant, and maximum likelihood predictors are commonly used in reliability studies for predicting either censored failure times or lifetimes from a future life-test. In this article, by assuming a Type-II right-censored sample from an exponential distribution, we compare best linear unbiased (BLUP) and best linear invariant (BLIP) predictors of the censored order statistics in the one-sample case and order statistics from a future sample in the two-sample case, in terms of Pitman closeness criterion. Some specific conclusions are drawn and supporting numerical results are presented.