Objective Bayesian analysis under sequential experimentation
Dongchu Sun, James O. Berger
Abstract
Objective priors for sequential experiments are considered. Common priors, such as the Jeffreys prior and the reference prior, will typically depend on the stopping rule used for the sequential experiment. New expressions for reference priors are obtained in various contexts, and computational issues involving such priors are considered.
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Primary Subjects: 62L12, 62C10
Secondary Subjects: 62F15, 62L10
Keywords: expected stopping time; frequentist coverage; Jeffreys’ prior; posterior distributions; reference prior; sequential experimentation
Full-text: Open access
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Permanent link to this document: http://projecteuclid.org/euclid.imsc/1209398457
Digital Object Identifier: doi:10.1214/074921708000000020
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