
doi: 10.1007/bf02869524
The compound decision problem, called by Robbins [7], consists in the simultaneous consideration of n decision problems which have an identical formal structure. All the papers [1]--[11] except [8] treated the continuous compound decision problem. Robbins [8] considered the decision problem between the binomial distributions and the distribution which is given by a unit step function. The problem of convergence rate was treated by Hannah-Van Ryzin [4], Van Ryzin [13] and Samuel [10] in the continuous case, by Johns [6] in the two-action case and by Robbins [8] in the binomial case. In this paper, we shall t reat the compound decision problem between k + l (at most) ~z-variate multinomial distributions and present the construction of the "bes t" simple symmetric solution and the exact convergence rate of the asymptotically "good" non-simple solution, using the different approach from that for the continuous case. This is an extension of [8] and a modification of [1], [2], [5], [11] and [13] which treated the continuous compound decision problem involving multiple component decisions. We do not consider the sequential case (cf. [4], [5], [9], [10] and [11]). But, in that case, a similar argument can be made by modifying only the part of the estimation of the true parameter vector.
Compound decision problems in statistical decision theory
Compound decision problems in statistical decision theory
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