Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci

Abstract

Among other issues, Sriram and Iaci (2014) have elegantly drawn attention to the notion of “negative regret” for a number of interesting sequential minimum risk point estimation problems under a time series model. We briefly lay down our thoughts and understanding with regard to possible negative regret in some of the point estimation problems.

Keywords:

• Estimated regret
• Exact regret
• Exponential mean
• Negative regret
• Normal mean
• Point estimation
• Regret
• Simulations

Subject Classifications:

• 62L10
• 62L12
• 60G50
• 62G05

ACKNOWLEDGMENT

We thank Professor Shelemyahu Zacks for kindly sharing with us the R code from the paper of Zacks and Mukhopadhyay (2006).

Notes

Recommended by T. K. S. Solanky