Abstract
The minimum risk point estimation problem is considered for the shape parameter of a Pareto distribution where the Joss function is taken as squared error plus the linear cost of sampling. A suitable purely sequential procedure is proposed for this problem and the asrmptotic behavior of the “regret” function proposed by Robbins (1959) and many other characteristics are examined. An extensive numerical study is presented in order to look into moderate sample behaviors of the proposed sequential estimation procedure. The procedure is found to be very satisfactory.
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