On the Bayesian Sequential Estiamtion Problem in k-Parameter Exponential Family

  • Yoon, Byoung-Chang (Department of Mathematics, Korea Military Academy) ;
  • Kim, Jea-Joo (Department of Computer Science & Statistics, Seoul National University)
  • 발행 : 1981.12.01

초록

The Bayesian sequential estimation problem for k parameters exponential families is considered using loss related to the Fisher information. Tractable expressions for the Bayes estimator and the posterior expected loss are found, and the myopic or one-step-ahead stopping rule is defined. Sufficient conditions are given for optimality of the myopic procedure, and the myopic procedure is shown to be asymptotically optimal in all cases considered.

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