random index empirical Bayes test asymptotic optimality convergence rates
Institute of Mathematics and Informatics at the Bulgarian Academy of Sciences
Serdica Mathematical Journal, Vol. 40, No 3-4, (2014), 261p-272p
In the case of random index, the empirical Bayes two-side test rule for the parameter of linear exponential distribution is constructed. The asymptotically optimal property for the proposed EB test is obtained under suitable conditions. It is shown that the convergence rates of the proposed EB test rules can arbitrarily close to O(n^−1/2). 2010 Mathematics Subject Classification: 62C12, 62F15.