Asymptotically optimum estimation of a probability in inverse binomial sampling under general loss functions

DOI10.1016/J.JSPI.2012.03.026zbMATH Open1428.62371arXiv1001.3084OpenAlexW2142431321MaRDI QIDQ449368FDOQ449368

Authors: Luis Mendo 

Publication date: 30 August 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: The optimum quality that can be asymptotically achieved in the estimation of a probability p using inverse binomial sampling is addressed. A general definition of quality is used in terms of the risk associated with a loss function that satisfies certain assumptions. It is shown that the limit superior of the risk for p asymptotically small has a minimum over all (possibly randomized) estimators. This minimum is achieved by certain non-randomized estimators. The model includes commonly used quality criteria as particular cases. Applications to the non-asymptotic regime are discussed considering specific loss functions, for which minimax estimators are derived.

Full work available at URL: https://arxiv.org/abs/1001.3084

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zbMATH Keywords

asymptotic propertiessequential estimationinverse binomial samplingminimax estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sampling theory, sample surveys (62D05) Minimax procedures in statistical decision theory (62C20) Sequential estimation (62L12)

Cites Work

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• The Lebesgue-Stieltjes Integral
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• A variance bound for unbiased estimation in inverse sampling
• Asymptotically optimum estimation of a probability in inverse binomial sampling under general loss functions
• Estimation of a probability with optimum guaranteed confidence in inverse binomial sampling
• ON A METHOD OF ESTIMATING FREQUENCIES

Cited In (5)

• Asymptotically optimum estimation of a probability in inverse binomial sampling under general loss functions
• Estimation of a probability with optimum guaranteed confidence in inverse binomial sampling
• Estimation of quadratic functions of the Bernoulli parameter in inverse sampling method
• Estimation of a probability in inverse binomial sampling under normalized linear-linear and inverse-linear loss
• Reproducing kernel Hilbert spaces generated by the binomial coefficients

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