Bias corrected sequential estimation for the mean of nef-pvf distributions

Bose, Arup ; Boukai, Benzion (1995) Bias corrected sequential estimation for the mean of nef-pvf distributions Sequential Analysis, 14 (4). pp. 307-319. ISSN 0747-4946

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Related URL: http://dx.doi.org/10.1080/07474949508836339

Abstract

Let F = {Fθ: θ ∈Θ} denote the class of natural exponential family of distributions having power variance function. An appropriate sequential procedure for estimating the mean μ of Fθ ∈ F under a combined loss of weighted estimation error and sampling cost is proposed. The usual estimator, namely Xt where t is an appropriate stopping time, is shown to be biased. To remedy this deficiency, we propose a class of estimators to correct for the bias. The asymptotic properties of the suggested estimators are provided. In particular, one realizes the tradeoff between the bias reduction and the reduced regret compared to the ususal estimator.

Item Type:Article
ID Code:5901
Deposited On:19 Oct 2010 10:19
Last Modified:28 Jan 2011 09:19

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