Monotone empirical Bayes tests for a discrete normal distribution

TaChen Liang

Statistics & Probability Letters, 1999, vol. 44, issue 3, 241-249

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

Keywords: Asymptotic; optimality; Empirical; Bayes; Rate; of; convergence; Regret; Two-action; problem (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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