Abstract
The empirical Bayes approach to multiple decision problems with a sequential decision problem as the component is studied. An empirical Bayesm-truncated sequential decision procedure is exhibited for general multiple decision problems. With a sequential component, an empirical Bayes sequential decision procedure selects both a stopping rule function and a terminal decision rule function for use in the component. Asymptotic results are presented for the convergence of the Bayes risk of the empirical Bayes sequential decision procedure.
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Karunamuni, R.J. On the empirical Bayes approach to multiple decision problems with sequential components. Ann Inst Stat Math 42, 637–655 (1990). https://doi.org/10.1007/BF02481142
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DOI: https://doi.org/10.1007/BF02481142