Multi-stage procedures for the minimum risk and bounded risk point estimation of the location of negative exponential distribution under the modified LINEX loss function

In this paper, we develop purely sequential, two-stage, three-stage, and "accelerated" sequential procedures for the point estimation of the location of negative exponential distribution having an unknown scale parameter. We do minimum risk point estimation by using all four sequential pro...

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Bibliographic Details
Published in:Sequential analysis 2019-04, Vol.38 (2), p.135-162
Main Authors: Chaturvedi, Ajit, Bapat, Sudeep R., Joshi, Neeraj
Format: Article
Language:English
Subjects:
"Accelerated"
"regret"
bounded risk
first-order properties
LINEX loss
minimum risk
negative exponential
Parameter estimation
point estimation
Probability distribution functions
purely sequential
Risk management
risk per unit cost
second-order approximations
Simulation
three-stage
two-stage
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Summary:In this paper, we develop purely sequential, two-stage, three-stage, and "accelerated" sequential procedures for the point estimation of the location of negative exponential distribution having an unknown scale parameter. We do minimum risk point estimation by using all four sequential procedures mentioned above. In addition, we do bounded risk point estimation by using three-stage and "accelerated" sequential procedures. Consideration is given to a modified LINEX loss function. We aim at controlling the associated risk functions for all the procedures. Second-order approximations are obtained for the proposed procedures. We also discuss first-order properties for purely sequential procedure.
ISSN:0747-4946
1532-4176
DOI:10.1080/07474946.2019.1574444