The Annals of Statistics

Sequential Selection Procedures--A Decision Theoretic Approach

Shanti S. Gupta and Klaus J. Miescke

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Abstract

Let $\pi_1,\cdots, \pi_k$ be given populations which are associated with unknown real parameters $\theta_1,\cdots, \theta_k$ from a common underlying exponential family $\mathscr{F}$. Permutation invariant sequential selection procedures are considered to find good populations (i.e. those which have large parameters), where inferior populations are intended to be screened out at the earlier stages. The natural terminal decisions, i.e. decisions which are made in terms of largest sufficient statistics, are shown to be optimum in terms of the risk, uniformly in $(\theta_1,\cdots, \theta_k)$, under fairly general loss assumptions. Similar results with respect to subset selections within stages are established under the additional assumption that $\mathscr{F}$ is strongly unimodal (i.e. $\log$-concave). The results are derived in the Bayes approach under symmetric priors. Backward induction as well as the concept of decrease in transposition (DT) by Hollander, Proschan and Sethuraman (1977) are the main tools which are used in the proofs.

Article information

Source
Ann. Statist., Volume 12, Number 1 (1984), 336-350.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346411

Digital Object Identifier
doi:10.1214/aos/1176346411

Mathematical Reviews number (MathSciNet)
MR733518

Zentralblatt MATH identifier
0539.62035

JSTOR
links.jstor.org

Subjects
Primary: 62F07: Ranking and selection
Secondary: 62F05: Asymptotic properties of tests 62F15: Bayesian inference 62L99: None of the above, but in this section

Keywords
Multiple decision procedures sequential procedures screening procedures selection procedures Bayesian analysis

Citation

Gupta, Shanti S.; Miescke, Klaus J. Sequential Selection Procedures--A Decision Theoretic Approach. Ann. Statist. 12 (1984), no. 1, 336--350. doi:10.1214/aos/1176346411. https://projecteuclid.org/euclid.aos/1176346411


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