Sequential estimation of powers of a scale parameter from delayed observations

Tom 36 / 2009

Agnieszka St/epie/n-Baran Applicationes Mathematicae 36 (2009), 13-28 MSC: Primary 62L12, 62L15; Secondary 62F10. DOI: 10.4064/am36-1-2


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.


  • Agnieszka St/epie/n-BaranInstitute of Mathematics and Computer Science
    Wroc/law University of Technology
    Wybrze/ze Wyspia/nskiego 27
    50-370 Wroc/law, Poland

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