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

DOI10.1016/J.JSPI.2012.03.026MaRDI QIDQ449368zbMATH OpenOpenAlexFDO

Authors Luis Mendo

Publication date 30 August 2012

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

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

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)

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.

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Cites work

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• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• 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
• The Lebesgue-Stieltjes Integral

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(5)

• Reproducing kernel Hilbert spaces generated by the binomial coefficients
• 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
• 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

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