Abstract
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.
Information
Published: 1 January 2008
First available in Project Euclid: 28 April 2008
MathSciNet: MR2459213
Digital Object Identifier: 10.1214/074921708000000020
Subjects:
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
