Asymptotically optimal procedures in multivariate Bayesian sequential estimation. Issue 4 (2nd October 2017)

• Record Type: Journal Article
• Authors: Hwang, Leng-Cheng
• Is Part Of: Sequential analysis. Volume 36:Issue 4(2017)
• Page Start: 481
• Page End: 489
• Publication Date: 2017-10-02
• Subjects: Asymptotically optimal -- asymptotically pointwise optimal -- multivariate Bayesian sequential estimation -- optimal sequential procedure -- robust; 62L12 -- 62C10; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2017.1394706
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: In this article, we consider the problem of multivariate Bayesian sequential estimation of the unknown mean vector. We propose a robust sequential procedure without using the prior information or any auxiliary data, which is similar to multivariate non-Bayesian sequential estimation by M. Ghosh et al. (1976 ). The proposed procedure, depending only on the present data but not on its distribution, is shown to be asymptotically as well as or better than the optimal fixed-sample-size procedures for the arbitrary distributions and asymptotically pointwise optimal and asymptotically optimal for multivariate exponential family with a large class of prior distributions.