caa a22 4500 477063012 CHVBK 20180405111406.0 cr unu---uuuuu 170330e19961201xx s 000 0 eng 10.1007/BF00052329 doi (NATIONALLICENCE)springer-10.1007/BF00052329 Karunamuni Rohana Department of Mathematical Sciences, University of Alberta, T6G 2G1, Edmonton, Alberta, Canada aut Empirical Bayes sequential estimation for exponential families: The untruncated component [Elektronische Daten] [Rohana Karunamuni] We consider the empirical Bayes decision problem where the component problem is the sequential estimation of the mean θ of one-parameter exponential family of distributions with squared error loss for the estimation error and a cost c>0 for each observation. The present paper studies the untruncated sequential component case. In particular, an untruncated asymptotically pointwise optimal sequential procedure is employed as the component. With sequential components, an empirical Bayes decision procedure selects both a stopping time and a terminal decision rule for use in the component with parameter θ. The goodness of the empirical Bayes sequential procedure is measured by comparing the asymptotic behavior of its Bayes risk with that of the component procedure as the number of past data increases to infinity. Asymptotic risk equivalence of the proposed empirical Bayes sequential procedure to the component procedure is demonstrated. The Institute of Statistical Mathematics, 1996 Empirical Bayes estimation nationallicence sequential components nationallicence asymptotically pointwise optimal nationallicence asymptotically optimal nationallicence Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 48/4(1996-12-01), 711-730 0020-3157 48:4<711 1996 48 10463 https://doi.org/10.1007/BF00052329 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF00052329 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Karunamuni Rohana Department of Mathematical Sciences, University of Alberta, T6G 2G1, Edmonton, Alberta, Canada aut NATIONALLICENCE 773 0- Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 48/4(1996-12-01), 711-730 0020-3157 48:4<711 1996 48 10463 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer