Open Access
VOL. 3 | 2008 Objective Bayesian analysis under sequential experimentation
Dongchu Sun, James O. Berger

Editor(s) Bertrand Clarke, Subhashis Ghosal

Inst. Math. Stat. (IMS) Collect., 2008: 19-32 (2008) DOI: 10.1214/074921708000000020


Objective priors for sequential experiments are considered. Common priors, such as the Jeffreys prior and the reference prior, will typically depend on the stopping rule used for the sequential experiment. New expressions for reference priors are obtained in various contexts, and computational issues involving such priors are considered.


Published: 1 January 2008
First available in Project Euclid: 28 April 2008

MathSciNet: MR2459213

Digital Object Identifier: 10.1214/074921708000000020

Primary: 62C10 , 62L12
Secondary: 62F15 , 62L10

Keywords: expected stopping time , frequentist coverage , Jeffreys’ prior , posterior distributions , reference prior , Sequential experimentation

Rights: Copyright © 2008, Institute of Mathematical Statistics

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