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Uniformly best invariant stopping rules

Published online by Cambridge University Press:  14 July 2016

Steinar Engen
Affiliation:
University of Trondheim
Eva Seim*
Affiliation:
University of Trondheim
*
Postal address: Department of Mathematics and Statistics, University of Trondheim, Den allmennvitenskapelige høgskolen, Trondheim, N-7055 Dragvoll, Norway.

Abstract

The class of stopping rules for a sequence of i.i.d. random variables with partially known distribution is restricted by requiring invariance with respect to certain transformations. Invariant stopping rules have an intuitive appeal when the optimal stopping problem is invariant with respect to the actual gain function. Uniformly best invariant stopping rules are derived for the gamma distribution with known shape parameter and unknown scale parameter, for the uniform distribution with both endpoints unknown, and for the normal distribution with unknown mean and variance. Some comparisons with previously published results are made.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1987 

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