On empirical bayes sequential estimation |
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| Authors: | R. J. Karunamuni |
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| Affiliation: | Department of Statistics and Applied Probability , University of Alberta , Edmonton, Alberta, Canada |
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| Abstract: | We study the empirical Bayes approach to the sequential estimation problem. An empirical Bayes sequential decision procedure, which consists of a stopping rule and a terminal decision rule, is constructed for use in the component. Asymptotic behaviors of the empirical Bayes risk and the empirical Bayes stopping times are investigated as the number of components increase. |
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| Keywords: | Empirical Bayes estimation squared error loss sequential component asymptotic optimality asymptotic efficiency |
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