Abstract
Observations may be taken from two populations where the simultaneous estimation of the population means is of interest. While the total number of observations, or horizon, is fixed, the observations may be taken sequentially with the decision to take an observation from one population or the other at any intermediate stage depending on past information. Such sampling schemes are called sequential allocation procedures or policies. A Bayesian exponential family distributions. For loss and prior distributions of the natural conjugate form, myopic or one—step—ahead sequential allocation procedures are derived and shown to be asymptotically optimal. Also, the asymptotic efficiency of one allocation to another is defined and then considered for the best nonrandom policy and the optimal policy.
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