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A Simple Derivation of a Complicated Prophet Region

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  • Saint-Mont, Uwe

Abstract

A straightforward proof of a result of R. P. Kertz (1986, J. Multivariate Anal.19, 88-112) is given, concerning the complete comparison of the values to a statistician, observing sequentially a sequence X1, ..., Xn of iid, [0, 1]-valued random variables, and the value to a prophet, observing that same sequence, and picking the largest observation to occur.

Suggested Citation

  • Saint-Mont, Uwe, 2002. "A Simple Derivation of a Complicated Prophet Region," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 67-72, January.
    • Handle: RePEc:eee:jmvana:v:80:y:2002:i:1:p:67-72
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    References listed on IDEAS

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    1. Kertz, Robert P., 1986. "Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality," Journal of Multivariate Analysis, Elsevier, vol. 19(1), pages 88-112, June.
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