A Bayesian Nonparametric Sequential Test for the Mean of a Population
Clayton, Murray K.
Ann. Statist., Tome 13 (1985) no. 1, p. 1129-1139 / Harvested from Project Euclid
We may take observations sequentially from a population with unknown mean $\theta$. After this sampling stage, we are to decide whether $\theta$ is greater or less than a known constant $\nu$. The net worth upon stopping is either $\theta$ or $\nu$, respectively, minus sampling costs. The objective is to maximize the expected net worth when the probability measure of the observations is a Dirichlet process with parameter $\alpha$. The stopping problem is shown to be truncated when $\alpha$ has bounded support. The main theorem of the paper leads to bounds on the exact stage of truncation and shows that sampling continues longest on a generalized form of neutral boundary.
Publié le : 1985-09-14
Classification:  Dirichlet process,  sequential decisions,  optimal stopping,  62L15,  62C10
@article{1176349660,
     author = {Clayton, Murray K.},
     title = {A Bayesian Nonparametric Sequential Test for the Mean of a Population},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 1129-1139},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176349660}
}
Clayton, Murray K. A Bayesian Nonparametric Sequential Test for the Mean of a Population. Ann. Statist., Tome 13 (1985) no. 1, pp.  1129-1139. http://gdmltest.u-ga.fr/item/1176349660/