A robust two-stage procedure in Bayes sequential estimation of a particular exponential family

Leng-Cheng Hwang () and Chia-Chen Yang

Metrika: International Journal for Theoretical and Applied Statistics, 2015, vol. 78, issue 2, 145-159

Abstract: The problem of Bayes sequential estimation of the unknown parameter in a particular exponential family of distributions is considered under linear exponential loss function for estimation error and a fixed cost for each observation. Instead of fully sequential sampling, a two-stage sampling technique is introduced to solve the problem in this paper. The proposed two-stage procedure is robust in the sense that it does not depend on the parameters of the conjugate prior. It is shown that the two-stage procedure is asymptotically pointwise optimal and asymptotically optimal for a large class of the conjugate priors. A simulation study is conducted to compare the performances of the two-stage procedure and the purely sequential procedure. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Asymptotically optimal; Asymptotically pointwise optimal; LINEX loss function; Robust; Two-stage procedure (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00184-014-0493-9

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