On the convergence rate of sequential fixed-width confidence intervals for normal parameters
We consider the convergence rate of sequential fixed-width confidence intervals for [theta]=a[mu]+b[sigma] under a normal model with [mu] and [sigma]2 both unknown. We use the fully sequential procedure proposed by [Takada, Y., 1997. Fixed-width confidence intervals for a function of normal parameters. Sequential Anal. 16, 107-117] to construct sequential confidence intervals for [theta] and investigate the convergence rate of the coverage probability as the width of the confidence interval approaches zero. We also derive a second-order asymptotic expansion of the average sample size.
Year of publication: |
2008
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Authors: | Isogai, Eiichi ; Futschik, Andreas |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1826-1834
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Publisher: |
Elsevier |
Saved in:
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