Bose, A. ; Boukai, Benzion (1997) Sequential estimation of the mean of NEF-PVF distributions Journal of Statistical Planning and Inference, 63 (1). pp. 55-70. ISSN 0378-3758
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/S03783...
Related URL: http://dx.doi.org/10.1016/S0378-3758(96)00197-8
Abstract
Let F = {F0: 0 ε θ} denote the class of natural exponential family of distributions having power variance function, (NEF-PVF). We consider the problem of sequentially estimating the mean µ of F0 εF, based on i.i.d. observations from F0. We propose an appropriate sequential estimation procedure under a combined loss of estimation error and sampling cost. We provide expansion for the regret Ra and study its asymptotic properties. We show that Ra = cv2(μ) + o(1) as a →∞, where c>0 is a known constant and v(μ) denotes the coefficient of variation of F0.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Sequential Estimation; Stopping Time; Regret Expansion; Exponential Families; Power Variance Function; Compound Poisson; Stable Distributions |
| ID Code: | 5464 |
| Deposited On: | 18 Oct 2010 10:10 |
| Last Modified: | 20 May 2011 10:58 |
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