Estimation of a probability in inverse binomial sampling under normalized linear-linear and inverse-linear loss (1009.2022v3)

Abstract: Sequential estimation of the success probability $p$ in inverse binomial sampling is considered in this paper. For any estimator $\hat p$, its quality is measured by the risk associated with normalized loss functions of linear-linear or inverse-linear form. These functions are possibly asymmetric, with arbitrary slope parameters $a$ and $b$ for $\hat p<p$ and $\hat p>p$ respectively. Interest in these functions is motivated by their significance and potential uses, which are briefly discussed. Estimators are given for which the risk has an asymptotic value as $p$ tends to $0$, and which guarantee that, for any $p$ in $(0,1)$, the risk is lower than its asymptotic value. This allows selecting the required number of successes, $r$, to meet a prescribed quality irrespective of the unknown $p$. In addition, the proposed estimators are shown to be approximately minimax when $a/b$ does not deviate too much from $1$, and asymptotically minimax as $r$ tends to infinity when $a=b$.