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Activity Number:
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509
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #308387 |
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Title:
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Bayes Sequential Estimation for a Subclass of Exponential Family of Distributions Under LINEX Loss
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Author(s):
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Alicja Jokiel-Rokita*+
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Companies:
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Wroclaw University of Technology
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Address:
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Wybrzeze Wyspianskiego 27, Wroclaw, 50-370, Poland
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Keywords:
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sequential procedure ; Bayesian estimation ; exponential family ; APO rule ; AO rule ; LINEX loss function
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Abstract:
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A subclass of an exponential family of distributions is considered. The problem is to estimate an unknown distribution parameter of this family. As an estimation error a LINEX loss function is used and a constant cost for each observation is assumed. The Bayesian approach to the problem is applied assuming conjugate prior distributions of the unknown parameter. A class of asymptotically pointwise optimal (APO) and asymptotically optimal (AO) procedures is derived.
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