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

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.

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Year of publication:	1999
Authors:	Hwang, Leng-Cheng
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 45.1999, 3, p. 277-282
Publisher:	Elsevier
Keywords:	Asymptotically Bayes Asymptotically pointwise optimal Bayes sequential estimation Two-stage procedure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005053140