Asymptotic optimality of a two-stage procedure in Bayes sequential estimation

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Title:	Asymptotic optimality of a two-stage procedure in Bayes sequential estimation
Authors:	Hwang, Leng-cheng;Liu, Jeng-fu
Keywords:	Asymptotically Bayes;Bayes sequential estimation;Empirical Bayes;Optimal sequential procedure;Two-stage procedure
Date:	2009-04-01
Issue Date:	2016-11-25 02:10:35 (UTC+8)
Abstract:	The problem of sequential estimation of the mean with quadratic loss and fixed cost per observation is considered within the Bayesian framework. Instead of fully sequential sampling, a two-stage sampling technique is introduced to solve the problem. The proposed two-stage procedure is robust in the sense that it does not depend on the distribution of outcome variables and the prior. It is shown to be asymptotically not worse than the optimal fixed-sample-size procedures for the arbitrary distributions, and to be asymptotically Bayes for the distributions of one-parameter exponential family.
Relation:	Statistical Papers 50(3), pp. 623–631
DOI:	10.1007/s00362-007-0092-1
Appears in Collections:	[Graduate Institute & Department of Mathematics] Journal Article

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