Asymptotic optimality of experimental designs in estimating a product of means

DOI10.1155/S104895339000003XMaRDI QIDQ911190zbMATH OpenFDO

Authors K. Rekab

Publication date 1990

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/46460

zbMATH Keywords

asymptotic lower bound for the Bayes riskconjugate prior distributionslinear modelsnonlinear estimationnormal populationsproduct of the means

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Optimal statistical designs (62K05) Sequential statistical design (62L05)

Review text

Summary: In nonlinear estimation problems with linear models, one difficulty in obtaining optimal designs is their dependence on the true value of the unknown parameters. A Bayesian approach is adopted with the assumption the means are independent a priori and have conjugate prior distributions. The problem of designing an experiment to estimate the product of the means of two normal populations is considered. The main results determine an asymptotic lower bound for the Bayes risk, and a necessary and sufficient condition for any sequential procedure to achieve the bound.

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