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Monotone empirical Bayes tests for a discrete normal distribution

โœ Scribed by TaChen Liang

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
104 KB
Volume
44
Category
Article
ISSN
0167-7152

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โœฆ Synopsis

We study the two-action problem in a discrete normal distribution via the empirical Bayes approach. An empirical Bayes test * n is constructed based on an estimator a * n of the critical point aG of the Bayes test. The empirical Bayes test * n possesses the monotonicity and the asymptotic optimality, and its regret converges to zero at an exponential-type rate of order O(exp(-n G )), where G is a positive number, depending on the unknown prior distribution G.

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