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  • Key words: Linex loss function  (1)
  • 2000-2004  (1)
  • 1
    ISSN: 1435-926X
    Keywords: Key words: Linex loss function ; bounded risk estimation ; fixed-width interval estimation ; shrinkage estimator ; asymptotic second-order expansion ; three-stage ; accelerated and purely sequential stopping rules
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract. The problem of estimating a linear function of k normal means with unknown variances is considered under an asymmetric loss function such that the associated risk is bounded from above by a known quantity. In the absence of a fixed sample size rule, sequential stopping rules satisfying a general set of assumptions are considered. Two estimators are proposed and second-order asymptotic expansions of their risk functions are derived. It is shown that the usual estimator, namely the linear function of the sample means, is asymptotically inadmissible, being dominated by a shrinkage-type estimator. An example illustrates the use of different multistage sampling schemes and provides asymptotic expansions of the risk functions.
    Type of Medium: Electronic Resource
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