Integrated Risk of Asymptotically Bayes Sequential Tests1 by 'gary Lorden
ثبت نشده
چکیده
منابع مشابه
A.P.O. Rules are Asymptotically non Deficient for Estimation with Squared Error Loss
The problem considered is sequential estimation of the mean 0 of a one-parameter exponential family of distributions with squared error loss for estimation error and a cost c > 0 for each of an i.i.d, sequence of potential observations X 1, X 2 . . . . . A Bayesian approach is adopted, and natural conjugate prior distributions are assumed. For this problem, the asymptotically pointwise optimal ...
متن کاملOptimality of the CUSUM Procedure
Optimality of CUSUM under a Lorden type criterion setting is considered. We demonstrate the optimality of the CUSUM test for Itô processes, in a sense similar to Lorden’s, but with a criterion that replaces expected delays by the corresponding KullbackLeibler divergence. Key-words: CUSUM, change-point, disorder problem, Kullback-Leibler divergence, sequential detection. Optimalité de la Procédu...
متن کاملLimiting Properties of Empirical Bayes Estimators in a Two-Factor Experiment under Inverse Gaussian Model
The empirical Bayes estimators of treatment effects in a factorial experiment were derived and their asymptotic properties were explored. It was shown that they were asymptotically optimal and the estimator of the scale parameter had a limiting gamma distribution while the estimators of the factor effects had a limiting multivariate normal distribution. A Bootstrap analysis was performed to ill...
متن کاملMonitoring Structural Changes in Econometric Models
The problem of sequential detection and diagnosis of structural changes in stochastic multivariate systems on the basis of sequential observations has many applications, including detection of changes in parameters of regression equations, testing adequacy of econometric models, fault detection and isolation in complex dynamical systems. There is an extensive statistical and econometric literat...
متن کاملAsymptotically optimal Bayesian sequential change detection and identification rules
We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random variables changes suddenly at some unobservable time to one of finitely many distinct alternatives, and one needs to both detect and identify the change at the earliest possible time. We propose computationally efficient sequential decisi...
متن کامل