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Two-stage approach to Bayes sequential estimation in the exponential distribution

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  • Hwang, Leng-Cheng

Abstract

For squared error loss plus linear cost, the problem of Bayes sequential estimation of the mean is considered. A two-stage procedure, not depending on the prior distribution, for the scale exponential family is proposed in this paper. It is shown that the proposed two-stage procedure shares the first-order efficiency properties with the fully sequential procedures for a large class of prior distributions.

Suggested Citation

  • Hwang, Leng-Cheng, 1999. "Two-stage approach to Bayes sequential estimation in the exponential distribution," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 277-282, November.
    • Handle: RePEc:eee:stapro:v:45:y:1999:i:3:p:277-282
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    References listed on IDEAS

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    1. Rohana Karunamuni, 1996. "Empirical Bayes sequential estimation for exponential families: The untruncated component," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(4), pages 711-730, December.
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    Cited by:

    1. Leng-Cheng Hwang & Jeng-Fu Liu, 2009. "Asymptotic optimality of a two-stage procedure in Bayes sequential estimation," Statistical Papers, Springer, vol. 50(3), pages 623-631, June.
    2. Leng-Cheng Hwang & Chia-Chen Yang, 2015. "A robust two-stage procedure in Bayes sequential estimation of a particular exponential family," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(2), pages 145-159, February.

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