Abstract
The sequential procedure developed by Govindarajulu and Sarkar [Sequential estimation of scale parameter in exponential distributions with unknown location. Utilitas Math. 40, 161–178 (1991)] for estimating the scale parameter of an exponential distribution, when the location parameter is unknown, is further analyzed. Generalizing the results of Govindarajulu and Sarkar, the ‘asymptotic risk-efficiency’ of the sequential procedure is established for the general loss function. A simple method of obtaining the asymptotic distribution of the stopping time is given. For the case of quadratic loss function and linear cost of sampling, a much simpler proof for obtaining the second-order approximations for the risk is provided.
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