Explicit solutions of the Bayes sequential estimation problem for a time-transformed exponential distribution. Issue 1 (2nd January 2018)

• Record Type: Journal Article
• Authors: Jokiel-Rokita, Alicja
• Is Part Of: Sequential analysis. Volume 37:Issue 1(2018)
• Page Start: 102
• Page End: 114
• Publication Date: 2018-01-02
• Subjects: Bayes sequential procedure -- free-boundary method -- optimal stopping -- precautionary loss function; 62L12 -- 62L15 -- 62F10 -- 62F15; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2018.1427981
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: A problem of Bayesian time-sequential estimation of an unknown parameter of a time-transformed exponential distribution is considered. It is supposed that the cost of observing the process is the sum of an increasing function of time and a linear function of the number of observations. Under some general assumptions concerning the loss function associated with the error of estimation, the optimal stopping time is derived using the free-boundary method. As an example, a solution of the problem considered is given in the case of a weighted precautionary loss function.