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Recursive procedures for multiple decisions: finite time memory and stepwise maximum likelihood procedure
Authors:A. L. Rukhin  J. Shi
Affiliation:1. Department of Mathematics and Statistics, UMBC, 21228, Baltimore, MD, USA
Abstract:A version of the multiple decsion problem is studied in which the procedure is based only on the current observation and the previous decision. A necessary and sufficient condition for inconsistency of the stepwise maximum likelihood procedure is shown to be the boundedness of the likelihood ratios. In the case of consistency the (typically slow) rate of convergence to zero of the error probabilities is determined.
Keywords:Asymptotic efficiency  consistency  error probabilities  multiple decision problem  stepwise maximum likelihood procedure
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