Sequential estimation problems for the scale parameter of a Pareto distribution

The Pareto distribution plays a central role in many areas of econometrics. So, we first consider sequential point estimation problems for the scale parameter of a Pareto distribution. Under a very general loss structure, we derive several asymptotic results regarding the associated “risk” and “regret” functions. Then, we consider the problem of constructing a fixed-ratio confidence interval for the scale parameter, and we propose various sampling techniques to achieve the intended goal. Most of our theoretical findings are asymptotic in nature for either problem, and thus we have presented extensive simulation studies to examine moderate sample performances of all the procedures. The findings in the point estimation problem are also supposed to fill many important gaps left in the paper of Wang (1973).