Abstract
The problem of Bayes sequential estimation of the mean in one-parameter exponential family with LINEX (linear-exponential) loss function and fixed cost for each observation is considered in this article. Given a prior, a family of stopping times is proposed and shown to be asymptotically pointwise optimal and asymptotically optimal. In addition, we propose a robust sequential procedure, not depending on the distribution of outcome variables and the prior. It is shown that the procedure also shares the asymptotic properties with the asymptotically pointwise optimal rules for a large class of prior distributions.
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