A certain accelerating sequential procedure to construct simultaneous confidence region: the exponential case

Abstract

This article deals with the problem of constructing fixed size confidence region with a prescribed confidence coefficient (1 — α) for the location parameters of k ≥ 2 exponential distributions. Accelerated sequential procedures are proposed to treat both equal and unequal scale parameters cases. Simulation results are given to study the moderate sample size performance of the proposed procedures.

Keywords:

• Asymptotic regret
• asymptotic relative efficiency
• cost function
• cost of ignorance
• exponential distribution
• fixed size confidence region
• location and scale parameters
• point and interval estimation
• Taylor expansion
• uniform integrability