Displaying similar documents to “Transitivity and approximate transitivity in problems of optimal stopping”

Optimal sequential procedures with Bayes decision rules

Andrey Novikov (2010)

Kybernetika

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In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does not exceed some given bound. We characterize the form of optimal sequential stopping rules in this problem. In particular, we have a characterization of the form of optimal sequential decision procedures when the Bayesian risk includes both the loss...

Optimal sequential multiple hypothesis tests

Andrey Novikov (2009)

Kybernetika

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This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.

The Bayes sequential estimation of a normal mean from delayed observations

Alicja Jokiel-Rokita (2006)

Applicationes Mathematicae

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The problem of estimating the mean of a normal distribution is considered in the special case when the data arrive at random times. Certain classes of Bayes sequential estimation procedures are derived under LINEX and reflected normal loss function and with the observation cost determined by a function of the stopping time and the number of observations up to this time.