Sequential point estimation of the powers of a normal scale parameter
Sequential point estimation of the powers of a normal scale parameter
复制标题
正态尺度参数幂的顺序点估计
作者：
C. Uno;E. Isogai
考虑了损失函数为平方误差加线性代价时正态尺度参数σrwithr <$0的幂的序贯点估计问题。结果表明，由于在忽略σ的情况下使用我们的全序贯方法而导致的遗憾对于估计σ−2是渐近最小化的。我们还提出了一个偏差校正程序来降低风险，并表明rand-2之间的距离越大，我们的偏差校正程序越有效。
We consider the sequential point estimation problem of the powers of a normal scale parameter σrwithr≠ 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 betweenrand −2 is, the more effective our bias-corrected procedure is.