Three-stage and accelerated sequential point estimation of the normal mean using LINEX loss function

Consider a normal population with unknown mean μ and unknown variance σ 2 . We estimate μ under an asymmetric LINEX loss function such that the associated risk is bounded from above by a known quantity w. This necessitates the use of a random number (N) of observations. Under a fairly broad set of a...

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Bibliographic Details
Published inStatistics (Berlin, DDR) Vol. 40; no. 1; pp. 39 - 49
Main Authors Chattopadhyay, Saibal, Sengupta, Raghu Nandan
Format Journal Article
LanguageEnglish
Published Taylor & Francis 01.02.2006
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Summary:Consider a normal population with unknown mean μ and unknown variance σ 2 . We estimate μ under an asymmetric LINEX loss function such that the associated risk is bounded from above by a known quantity w. This necessitates the use of a random number (N) of observations. Under a fairly broad set of assumptions on N, we derive the asymptotic second-order expansion of the associated risk function. Some examples have been included involving accelerated sequential and three-stage sampling techniques. Performance comparisons of these procedures are considered using a Monte-Carlo study.
ISSN:0233-1888
1029-4910
DOI:10.1080/02331880500484820