Making Multiple Decisions Adaptively
Making Multiple Decisions Adaptively
The asymptotic behavior of multiple decision procedures is studied when the underlying distributions depend on an unknown nuisance parameter. An adaptive procedure must be asymptotically optimal for each value of this nuisance parameter, and it should not depend on its value. A necessary and sufficient condition for the existence of such a procedure is derived. Several examples are investigated in detail, and possible lack of adaptation of the traditional overall maximum likelihood rule is discussed.
- Bulgarian Academy of Sciences Bulgaria
- Institute of Mathematics and Informatics Bulgaria
Multiple Decision Problem, Exponential Families, exponential families, multiple decisions, consistency, General considerations in statistical decision theory, Compound decision problems in statistical decision theory, Minimax procedures in statistical decision theory, adaptation
Multiple Decision Problem, Exponential Families, exponential families, multiple decisions, consistency, General considerations in statistical decision theory, Compound decision problems in statistical decision theory, Minimax procedures in statistical decision theory, adaptation
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