SEQUENTIAL ESTIMATION IN A SUBCLASS OF EXPONENTIAL FAMILY UNDER WEIGHTED SQUARED ERROR LOSS

Document Type: Regular Paper

Authors

Department of Statistics, Faculty of Economics, Allameh Tabataba'i University, Tehran, I. R. of Iran

Abstract

In a subclass of the scale-parameter exponential family, we consider the sequential point
estimation of a function of the scale parameter under the loss function given as the sum of the weighted
squared error loss and a linear cost. For a fully sequential sampling scheme, second order expansions are
obtained for the expected sample size as well as for the regret of the procedure. The former researches on
Gamma and Exponential distributions can be deduced from our general results.

Keywords