Uniformly best invariant stopping rules

@inproceedings{Engen1987UniformlyBI,
  title={Uniformly best invariant stopping rules},
  author={Steinar Engen and Eva Amdahl Seim},
  year={1987}
}
The class of stopping rules for a sequence of i.i.d. random variables with partially known distribution is restricted by requiring invariance with respect to certain transformations. Invariant stopping rules have an intuitive appeal when the optimal stopping problem is invariant with respect to the actual gain function. Uniformly best invariant stopping rules are derived for the gamma distribution with known shape parameter and unknown scale parameter, for the uniform distribution with both… CONTINUE READING