Abstract
We consider the problem of minimum risk point estimation for the parameter θ=aμ+bσ of the exponential distribution with unknown location parameter μ and scale parameter σ when the loss function is squared error plus linear cost. In this paper, we propose a sequential estimator of θ and show that the associated risk is asymptotically one cost less than that given by Ghosh and Mukhopadhyay (1989,South African Statist. J.,23, 251–268).
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