Optimal sequential procedures with Bayes decision rules

Details Optimal sequential procedures with Bayes decision rules Optimal sequential procedures with Bayes decision rules

2008-11-30

arxiv.org/abs/0812.0159v2

Kybernetika 46 (2010), no. 4, pp.754-770

Mathematics

Statistics Theory

Shortened version for print publication, 17 pages

Scientific paper

In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does not exceed some given bound. We characterize the form of optimal sequential stopping rules in this problem. In particular, we have a characterization of the form of optimal sequential decision procedures when the Bayesian risk includes both the loss due to incorrect decision and the cost of observations.

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