Shanti S. Gupta (Purdue University, USA)
Empirical BAYES selection procedures for positive exponential family
In this paper, we are interested in the problem of simultaneous inference and selection from among populations in comparison with a standard or control. The populations are denoted by . The random variable associated with is assumed to have the density .
A nonparametric empirical Bayes approach is used to construct the selection procedure based on data from past n stages and the present stage. It is shown that this empirical Bayes procedure is asymptotically optimal with a rate of order . The results are applicable to data arising from life-test experiments.