Sequential point estimation of the powers of a normal scale parameter

Abstract

We consider the sequential point estimation problem of the powers of a normal scale parameter σr with r≠ 0 when the loss function is squared error plus linear cost. It is shown that the regret due to using our fully sequential procedure in ignorance of σ is asymptotically minimized for estimating σ−2. We also propose a bias-corrected procedure to reduce the risk and show that the larger the distance between r and −2 is, the more effective our bias-corrected procedure is.