Minimax Estimation of the Scale Parameter of Laplace Distribution under Modified Linear Exponential (MLINEX) Loss Function

The main objective of this paper is to find the minimax estimator of the scale parameter of Laplace distribution under MLINEX loss function by applying the theorem of Lehmann (1950). The estimator is then compared with classical estimator like moment estimator with respect to mean square errors (MSEs) through R- Code simulation. The result has shown that the minimax estimator under MLINEX loss function is better than moment estimator for all sample sizes. Finally, mean square errors of different estimators corresponding to sample size are presented graphically