The Annals of Statistics

Second Order Efficiency in the Sequential Design of Experiments

Robert Keener

Full-text: Open access

Abstract

In the sequential design of experiments an experimenter performs experiments sequentially to make an eventual inference about the true state of nature. A Bayesian formulation of this problem is considered. The parameter space is assumed finite and there are a finite number of repeatable experiments. Sufficient conditions are given for a procedure to be second order efficient as the sampling costs approach zero. The asymptotic analysis of a related Markov control problem is also presented.

Article information

Source
Ann. Statist., Volume 12, Number 2 (1984), 510-532.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346503

Digital Object Identifier
doi:10.1214/aos/1176346503

Mathematical Reviews number (MathSciNet)
MR740909

Zentralblatt MATH identifier
0558.62070

JSTOR
links.jstor.org

Subjects
Primary: 62L05: Sequential design
Secondary: 93E20: Optimal stochastic control

Keywords
Markov control theory random walks sequential analysis large sample theory

Citation

Keener, Robert. Second Order Efficiency in the Sequential Design of Experiments. Ann. Statist. 12 (1984), no. 2, 510--532. doi:10.1214/aos/1176346503. https://projecteuclid.org/euclid.aos/1176346503


Export citation