The Bayes sequential estimation of a normal mean from delayed observations
Volume 33 / 2006
Applicationes Mathematicae 33 (2006), 275-282
MSC: Primary 62L12, 62L15; Secondary 62C10.
DOI: 10.4064/am33-3-3
Abstract
The problem of estimating the mean of a normal distribution is considered in the special case when the data arrive at random times. Certain classes of Bayes sequential estimation procedures are derived under LINEX and reflected normal loss function and with the observation cost determined by a function of the stopping time and the number of observations up to this time.
