Empirical bayes sequential estimation of the mean
作者:
R.J. Karunamuni,
期刊:
Sequential Analysis
(Taylor Available online 1992)
卷期:
Volume 11,
issue 1
页码: 37-53
ISSN:0747-4946
年代: 1992
DOI:10.1080/07474949208836243
出版商: Marcel Dekker, Inc.
关键词: Empirical Bayes estimation;sequential component;asymptotic optimality;asymptotic efficiency
数据来源: Taylor
摘要:
We consider the empirical Bayes problem where the component problem is the sequential estimation of the mean of a distribution with squared error decision loss plus a sampling cost. An empirical Bayes sequential estimation procedure is exhibited which is asymptotically optimal. Asymptotic efficiency of the empirical Bayes stopping time sequence is also established. The performance of the proposed empirical Bayes procedure is studied with the help of a Monte Carlo study.
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