Article ID Journal Published Year Pages File Type
7548429 Statistics & Probability Letters 2018 9 Pages PDF
Abstract
In this paper, we consider the problem of sequentially estimating the unknown parameter in a particular exponential family of distributions under an asymmetric LINEX loss function and fixed cost for each observation within a Bayesian framework. Under a gamma prior distribution, the second order approximation for the Bayes risks of the asymptotically pointwise optimal rule and the optimal stopping rule are derived. It is shown that the asymptotically pointwise optimal rule is asymptotically non-deficient in the sense of Woodroofe (1981).
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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