An alternative formulation of accelerated sequential procedures with applications to parametric and nonparametric estimation
- 1 January 1996
- journal article
- research article
- Published by Taylor & Francis in Sequential Analysis
- Vol. 15 (4) , 253-269
Abstract
A new type of accelerated sequential procedure is developed and its associated second-order characteristics are investigated. In the case of a few known sequential estimation problems, it is shown that the new methodology (i) is flexible in terms of what one plugs in as the estimator of the nuisance parameter in the boundary condition, and (ii) can economize at the same time on the starting sample size condition to provide second-order properties similar to those already available for the existing methodologies. The power and novelty of the newly constructed sampling techniques are also substantiated by the simplicity of derivation of the second-order expansions for the regret function associated with the estimator of the scale parameter of an exponential distribution, as well as in the context of one-sample and two-sample problems for estimating means when the distributions are unspecified.Keywords
This publication has 17 references indexed in Scilit:
- Asymptotic Expansions for the Moments of a Randomly Stopped AverageThe Annals of Statistics, 1993
- Correction: Second Order Approximation to the Risk of a Sequential ProcedureThe Annals of Statistics, 1991
- Negative Regret, Optional Stopping, and the Elimination of OutliersJournal of the American Statistical Association, 1988
- Second Order Approximation to the Risk of a Sequential ProcedureThe Annals of Statistics, 1983
- The Performance of a Sequential Procedure for the Estimation of the MeanThe Annals of Statistics, 1981
- Sequential point estimation of the mean when the distribution is unspecifiedCommunications in Statistics - Theory and Methods, 1979
- A Nonlinear Renewal Theory with Applications to Sequential Analysis IIThe Annals of Statistics, 1979
- A Nonlinear Renewal Theory with Applications to Sequential Analysis IThe Annals of Statistics, 1977
- Multivariate sequential point estimationJournal of Multivariate Analysis, 1976
- Sequential Estimation of Location Parameter in Exponential DistributionsCalcutta Statistical Association Bulletin, 1974