Bayesian Sequential Estimation of the Inverse of the Pareto Shape Parameter


  •  Mohamed Tahir    

Abstract

The problem addressed is that of developing a sequential procedure for estimating the inverse of the shape parameter of the Pareto distribution under the squared loss, assuming that the shape parameter is the value of a random variable having a density function with compact support and that the cost per observation is one unit. A stopping time is proposed and a second-order asymptotic expansion is obtained for the Bayes regret incurred by the proposed procedure.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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