Second-order approximations of a robust sequential procedure in Bayes sequential estimation. Issue 4 (1st October 2020)

• Record Type: Journal Article
• Authors: Hwang, Leng-Cheng
• Is Part Of: Sequential analysis. Volume 39:Issue 4(2020)
• Page Start: 467
• Page End: 483
• Publication Date: 2020-10-01
• Subjects: Asymptotically Bayes -- asymptotically nondeficient -- asymptotically pointwise optimal -- Bayes sequential estimation -- robust; 62L12 -- 62C10; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2020.1826785
• Languages: English
• ISSNs: 0747-4946

Abstract

Abstract: The problem of sequential estimation of the mean with quadratic loss and fixed cost per observation is considered within the Bayesian framework. A robust sequential procedure, not depending on the distributions of outcome variables and the prior, in the Bayes sequential estimation is investigated. In the present article, the second-order approximations to the expected sample size and the Bayes risk of the robust sequential procedure are obtained for the arbitrary distributions of outcome variables and the prior. The second-order efficiency is further discussed in an example.