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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Published in | Statistics (Berlin, DDR) Vol. 40; no. 1; pp. 39 - 49 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Taylor & Francis
01.02.2006
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Online Access | Get full text |
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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. |
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ISSN: | 0233-1888 1029-4910 |
DOI: | 10.1080/02331880500484820 |