On two Sequential Procedures for Estimating the Parameter of a Uniform Distribution

Abstract

Mukhopadhyay (1987) considered sequential procedure for the point estimation of the parameter θ in a U(0, θ) distribution under quadratic Joss. Given a random sample X₁, ..., X_n of size n, he used T_n = max (X₁ , ... ,X_n) to estimate θ In the present note, a sequential procedure based of UMVUE of θ is proposed. The asymptotic properties of the proposed procedure are established and its advantages over Mukhopadhyay's procedure are discussed.