Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155118 | Statistics & Probability Letters | 2008 | 6 Pages |
Abstract
In this paper, the concept of asymptotic pointwise optimality in a single sequence of random variables provided by Bickel and Yahav [Bickel, P.J., Yahav, J.A., 1967. Asymptotically pointwise optimal procedures in sequential analysis. In: Proc Fifth Berkeley Symp. Math Statist. Prob. 1. University of California Press, pp. 401-413] is extended to more than one sequence of random variables. The Bayesian sequential estimation problem for one-parameter exponential families is considered and an asymptotically pointwise optimal rule, which includes a sequential allocation procedure and a stopping time, is provided. Some properties of asymptotic optimality are also obtained for the rules with and without using the prior information.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Leng-Cheng Hwang, Rohana J. Karunamuni,