Sequential estimation of exponential lacation parameter using an asymmetric loss function |
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Authors: | Chattopadhay Saibal |
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Institution: | Indian Institute of Management Calcutta , Joka, Diamond Harbour Road, Calcutta, 700027, India |
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Abstract: | For a two-parameter negative exponential population with both parameters unknown, the bounded risk sequential estimation problem of the location parameter is considered under an asymmetric linex loss funmction. Asymptotic second-order expansion of the risk function is derived for a general class of stopping variables. Some examples are include involving purely scquential and accelerated sequential sampling methodologies. A Monte-Carlo study is carried out to support the asymptotic results and to compare the performance of the different sampling methodologies. |
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Keywords: | negative exponential linex loss function stopping variable purely sequential accelerated sequentia asymptotic secand-order expansion |
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