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On Exact and Asymptotic Properties of Two-Stage and Sequential Estimation of the Normal Mean Under LINEX Loss

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  • Shelemyahu Zacks
  • Nitis Mukhopadhyay

Abstract

In this article, we consider the bounded risk point estimation problem for the mean μ in a N(μ, σ2) distribution under a LINEX loss function. We have proposed both two-stage and sequential procedures with a goal that the associated risk functions approximately fall under a preassigned risk-bound ω (>0). Our two-stage and sequential procedures and the associated terminal estimators for μ are different from those of Takada (2006) and Chattopadhyay et al. (2005), respectively. We begin by presenting interesting asymptotic properties of the two-stage point estimator for μ followed by the exact distribution of the two-stage stopping time along with some exact properties of the terminal estimator for μ. We also develop the exact distribution of the sequential stopping time along with some exact properties of the terminal estimator for μ. In either case, the exact expressions are illustrated with numerical computations.

Suggested Citation

  • Shelemyahu Zacks & Nitis Mukhopadhyay, 2009. "On Exact and Asymptotic Properties of Two-Stage and Sequential Estimation of the Normal Mean Under LINEX Loss," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 38(16-17), pages 2992-3014, October.
    • Handle: RePEc:taf:lstaxx:v:38:y:2009:i:16-17:p:2992-3014
    DOI: 10.1080/03610920902947287
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