Sequential estimation of the difference of means of two negative exponential populations

Abstract

In this paper, we discuss sequential procedures for estimating the difference of means of two independent negative exponential populations with unknown locations.Up to various orders of approximation, we obtain minimum risk point estimators when the loss function is squared error plus linear cost.We address this problem separately when the scale parameters are (i) unknown but equal and (ii) unknown and unequal.In the first situation, we derive, among other things, asymptotic second order characteristics; while in the second situation, we are able to develop only the first order properties.We also give comments on truly encouraging moderate sample size performances of the proposed sampling procedures.

Keywords:

• Risk efficiency
• regret
• sampling scheme
• asymptotic normality