Sequential minimum risk point estimation (MRPE) methodology for a normal mean under Linex loss plus sampling cost: First-order and second-order asymptotics. Issue 4 (2nd October 2019)

• Record Type: Journal Article
• Authors: Mukhopadhyay, Nitis; Banerjee, Soumik
• Is Part Of: Sequential analysis. Volume 38:Issue 4(2019)
• Page Start: 461
• Page End: 479
• Publication Date: 2019-10-02
• Subjects: First-order properties -- linear cost -- Linex loss -- minimum risk -- nonlinear renewal theory -- regret -- risk efficiency -- second-order properties -- sequential -- simulations; 62L12 -- 62L10 -- 62L05; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2019.1686937
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: We have designed a sequential minimum risk point estimation (MRPE) strategy for the unknown mean of a normal population having its variance unknown too. This is developed under a Linex loss plus linear cost of sampling. A number of important asymptotic first-order and asymptotic second-order properties' characteristics have been developed and proved thoroughly. Extensive sets of simulations tend to validate nearly all of these asymptotic properties for small to medium to large optimal fixed sample sizes.