Sequential allocation for an estimation problem with ethical costs (Q749132)
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English | Sequential allocation for an estimation problem with ethical costs |
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Sequential allocation for an estimation problem with ethical costs (English)
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1990
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This paper deals with the problem of designing an experiment to estimate the difference \(\theta\) of the means of two normal populations with unit variance. A quasi-Bayesian, decision-theoretic approach is adopted where \(\theta\) is estimated by its maximum likelihood estimator, but the design is evaluated in Bayesian, decision-theoretic terms. The risk function of a sequential design consists of the cost of drawing a sample from either population, which may depend on unknown \(\theta\), and the loss function of the form tK[\(\sqrt{t}(\theta -{\hat \theta})]\), where t is the sample size and K is a nonnegative, nonconstant, symmetric function of polynomial growth. An asymptotic expression for integrated risks is derived. An ad hoc three-stage procedure, which takes observations in three batches, is given. The regret of the three-stage procedure is shown to be bounded as \(t\to \infty\). A series of theorems indicate that the three-stage procedure is asymptotically second-order efficient for squared error loss. Some comments on conditions used in the analysis and suggestions for further investigations are also presented.
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quasi-Bayesian approach
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mean difference
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sampling costs
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invariance
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posterior distributions
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asymptotic normality
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normal populations
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maximum likelihood estimator
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risk function
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loss function
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asymptotic expression for integrated risks
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three-stage procedure
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regret
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asymptotically second-order efficient
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squared error loss
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