IDEAS home Printed from https://ideas.repec.org/a/spr/metrik/v78y2015i2p145-159.html
   My bibliography  Save this article

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

Author

Listed:
  • Leng-Cheng Hwang
  • Chia-Chen Yang

Abstract

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. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • 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.
    • Handle: RePEc:spr:metrik:v:78:y:2015:i:2:p:145-159
    DOI: 10.1007/s00184-014-0493-9
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00184-014-0493-9
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00184-014-0493-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. N. Mukhopadhyay, 1980. "A consistent and asymptotically efficient two-stage procedure to construct fixed width confidence intervals for the mean," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 27(1), pages 281-284, December.
    2. Hwang, Leng-Cheng & Karunamuni, Rohana J., 2008. "Asymptotically pointwise optimal allocation rules in Bayes sequential estimation," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2490-2495, October.
    3. Alicja Jokiel-Rokita, 2011. "Bayes sequential estimation for a particular exponential family of distributions under LINEX loss," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 211-219, September.
    4. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hokwon Cho, 2019. "Two-Stage Procedure of Fixed-Width Confidence Intervals for the Risk Ratio," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 721-733, September.
    2. 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.
    3. Nitis Mukhopadhyay & Soumik Banerjee, 2023. "A General Theory of Three-Stage Estimation Strategy with Second-Order Asymptotics and Its Applications," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 401-440, February.
    4. Sen, Pranab K. & Tsai, Ming-Tien, 1999. "Two-Stage Likelihood Ratio and Union-Intersection Tests for One-Sided Alternatives Multivariate Mean with Nuisance Dispersion Matrix," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 264-282, February.
    5. Hwang, Leng-Cheng, 2018. "Second order optimal approximation in a particular exponential family under asymmetric LINEX loss," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 283-291.
    6. Aoshima, Makoto & Mukhopadhyay, Nitis, 1998. "Fixed-Width Simultaneous Confidence Intervals for Multinormal Means in Several Intraclass Correlation Models," Journal of Multivariate Analysis, Elsevier, vol. 66(1), pages 46-63, July.
    7. Nitis Mukhopadhyay & William Duggan, 1999. "On a Two-Stage Procedure Having Second-Order Properties with Applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(4), pages 621-636, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metrik:v:78:y:2015:i:2:p:145-159. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.