English

Two choice optimal stopping

Probability 2007-06-13 v1 Statistics Theory Statistics Theory

Abstract

Let Xn,...,X1X_n,...,X_1 be i.i.d. random variables with distribution function FF. A statistician, knowing FF, observes the XX values sequentially and is given two chances to choose XX's using stopping rules. The statistician's goal is to stop at a value of XX as small as possible. Let Vn2V_n^2 equal the expectation of the smaller of the two values chosen by the statistician when proceeding optimally. We obtain the asymptotic behavior of the sequence Vn2V_n^2 for a large class of FF's belonging to the domain of attraction (for the minimum) D(Gα){\cal D}(G^\alpha), where Gα(x)=[1exp(xα)]I(x0)G^\alpha(x)=[1-\exp(-x^\alpha)]{\bf I}(x \ge 0). The results are compared with those for the asymptotic behavior of the classical one choice value sequence Vn1V_n^1, as well as with the ``prophet value" sequence Vnp=E(min{Xn,...,X1})V_n^p=E(\min\{X_n,...,X_1\}).

Keywords

Cite

@article{arxiv.math/0510242,
  title  = {Two choice optimal stopping},
  author = {David Assaf and Larry Goldstein and Ester Samuel-Cahn},
  journal= {arXiv preprint arXiv:math/0510242},
  year   = {2007}
}

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33 pages