Asymptotically optimal stopping rules in the presence of unknown parameters

A. Irle

Statistics & Probability Letters, 1996, vol. 30, issue 1, 9-16

Abstract: The stopping problem for maxX1,...,Xn - en is treated when the distribution of Xi is unknown. We give a general result on asymptotic optimality for a stopping time which incorporates an estimate for the unknown optimal level. This generalizes a result by Martinsek (1984) for exponential distributions with unknown mean.

Date: 1996
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