Journal
STATISTICA NEERLANDICA
Volume 67, Issue 3, Pages 263-280Publisher
WILEY-BLACKWELL
DOI: 10.1111/stan.12006
Keywords
location parameter; scale parameter; balanced loss function; minimum risk equivariant estimator; risk function; optimal stopping time
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The problem of sequentially estimating a location parameter and powers of a scale parameter is considered in the case when the observations become available at random times. Certain classes of sequential estimation procedures are derived under an invariant balanced loss function and with the observation cost determined by a convex function of the stopping time and the number of observations up to that time.
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