Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 13, No 1, (2000), 91p-115p
Abstract:
The asymptotic behavior of multiple decision procedures is studied when the underlying distributions depend on an unknown nuisance parameter. An adaptive
procedure must be asymptotically optimal for each value of this nuisance parameter, and it should not depend on its value. A necessary and sufficient condition for
the existence of such a procedure is derived. Several examples are investigated in
detail, and possible lack of adaptation of the traditional overall maximum likelihood
rule is discussed.
