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September, 1990 Sequential Allocation for an Estimation Problem with Ethical Costs
Michael Woodroofe, Janis Hardwick
Ann. Statist. 18(3): 1358-1377 (September, 1990). DOI: 10.1214/aos/1176347754

Abstract

The problem of designing an experiment to estimate the difference between the means of two normal populations with unit variances is considered, when the cost of drawing a sample from either population may depend on unknown parameters. A quasi-Bayesian approach is adopted in which the mean difference is estimated by its maximum likelihood estimator, but the design (allocation rule) is evaluated in Bayesian, decision-theoretic terms. A three-stage procedure is proposed and its risk evaluated, up to terms which are small compared to the cost of a single observation. This procedure is shown to be optimal to second order for squared error loss.

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Michael Woodroofe. Janis Hardwick. "Sequential Allocation for an Estimation Problem with Ethical Costs." Ann. Statist. 18 (3) 1358 - 1377, September, 1990. https://doi.org/10.1214/aos/1176347754

Information

Published: September, 1990
First available in Project Euclid: 12 April 2007

zbMATH: 0712.62074
MathSciNet: MR1062713
Digital Object Identifier: 10.1214/aos/1176347754

Subjects:
Primary: 62L12

Rights: Copyright © 1990 Institute of Mathematical Statistics

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Vol.18 • No. 3 • September, 1990
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