Sequential estimation of powers of a scale parameter from delayed observations
Volume 36 / 2009
Applicationes Mathematicae 36 (2009), 13-28
MSC: Primary 62L12, 62L15; Secondary 62F10.
DOI: 10.4064/am36-1-2
Abstract
The problem of sequentially estimating powers of a scale parameter in a scale family and in a location-scale family is considered in the case when the observations become available at random times. Certain classes of sequential estimation procedures are derived under a scale invariant 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.
