Monotone empirical Bayes tests for some discrete nonexponential families |
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Authors: | Tachen Liang |
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Institution: | 1. Department of Mathematics, Wayne State University, 48202, Detroit, MI, USA
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Abstract: | This paper deals with the empirical Bayes two-action problem of testingH 0 : θ ≤ θo versusH 1 : θ > θo using a linear error loss for some discrete nonexponential families having probability function either $\begin{gathered} f_1 (x|\theta ) = (x\alpha + 1 - \theta )\theta ^x /\prod\limits_{j = 0}^x {(j\alpha + 1)} \\ or \\ f_1 (x|\theta ) = \left {\theta \prod\limits_{j = 0}^{x - 1} {(j\alpha + 1 - \theta )} } \right]/\left {\prod\limits_{j = 0}^x {(j\alpha + 1)} } \right] \\ \end{gathered} $ Two empirical Bayes tests δn* and δn** are constructed. We have shown that both δn* and δn** are asymptotically optimal, and their regrets converge to zero at an exponential decay rate O(exp( -cn)) for some c > 0, wheren is the number of historical data available when the present decision problem is considered. |
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