The Bayesian sequential estimation problem for k parameters exponential families is considered using loss related to the Fisher information. Tractable expressions for the Bayes estimator and the posterior expected loss are found, and the myopic or on...
The Bayesian sequential estimation problem for k parameters exponential families is considered using loss related to the Fisher information. Tractable expressions for the Bayes estimator and the posterior expected loss are found, and the myopic or one-step-ahead stopping rule is defined. Sufficient conditions are given for optimality of the myopic procedure, and the myopic procedure is shown to be asymptotically optimal in all cases considered.