Asymptotic optimality of sequential designs for estimation

DOI10.1155/S0161171295000196MaRDI QIDQ1345790zbMATH OpenFDO

Authors K. Rekab

Publication date 26 April 1995

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47132

zbMATH Keywords

batch sequential procedureBayes riskexponential familyindependent conjugate priorslinear combination of meanssquared error lossuniform integrability

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical design (62L05) Sequential statistical analysis (62L10)

Review text

Summary: This paper is concerned with the problem of allocating a fixed number of trials between \(K\) independent populations from the exponential family, in order to estimate a linear combination of the means with squared error loss. Introducing independent conjugate priors, a batch sequential procedure is proposed and compared with the optimal.

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