A robust two-stage procedure in Bayes sequential estimation of a particular exponential family

作者：Hwang Leng Cheng^*; Yang Chia Chen

来源：Metrika, 2015, 78(2): 145-159.

DOI：10.1007/s00184-014-0493-9

• Asymptotically optimal
• Asymptotically pointwise optimal
• LINEX loss function
• Robust
• Two-stage procedure

The problem of Bayes sequential estimation of the unknown parameter in a particular exponential family of distributions is considered under linear exponential loss function for estimation error and a fixed cost for each observation. Instead of fully sequential sampling, a two-stage sampling technique is introduced to solve the problem in this paper. The proposed two-stage procedure is robust in the sense that it does not depend on the parameters of the conjugate prior. It is shown that the two-stage procedure is asymptotically pointwise optimal and asymptotically optimal for a large class of the conjugate priors. A simulation study is conducted to compare the performances of the two-stage procedure and the purely sequential procedure.

• 出版日期2015-2