A Bayesian approach to a problem in sequential estimation

DOI10.1214/AOS/1176345196MaRDI QIDQ1149719zbMATH OpenOpenAlexFDO

Authors Shelley L. Rasmussen

Publication date 1980

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345196

zbMATH Keywords

asymptotic expansionsloss functionsmean of normal distributionnormal-gamma prior distributionoptimal continuation region

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Sequential estimation (62L12) Continuous-time Markov processes on general state spaces (60J25) Optimal stopping in statistics (62L15)

Cited in

(8)

• A sequential test for the failure rate of an exponential distribution with censored data
• Asymptotic optimality of a two-stage procedure in Bayes sequential estimation
• Relaxing the i.i.d. assumption: adaptively minimax optimal regret via root-entropic regularization
• Bayesian sequential estimation of the ratio of failure rates of two exponential distributions censored data
• Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• A bayesian approach to sequential estimation without using the
• Bayes Sequential Estimation Procedures in Exponential-Type Processes For a Polynomial Cost Function

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