A sequential estimation procedure for the parameter of an exponential distribution under asymmetric loss function

摘要

A problem of Bayesian sequential estimating an unknown parameter of an exponential distribution is considered. it is supposed that the loss associated with the error of estimation is asymmetric (LINEX) and the cost of observing the process is a linear function of time and the number of observations. A Bayes sequential procedure for estimating the unknown parameter is presented.