A Comparison of Sampling Plans for Bayesian Estimation of a Poisson Process Rate.
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WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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Bayes estimation of the arrival rate of a Poisson process is studied in this paper. For any loss function in the family L sub p, a simple sequential procedure Tau sub p is introduced which, based on the criterion of minimizing expected cost estimation error plus sampling cost, is either optimal or asymptotically optimal. The procedure Tau sub p is compared to Type 1 and 2 censoring - the comparison should be useful to experimenters choosing between the three sampling plans.
- Statistics and Probability