A sequential procedure with asymptotically negative regret for estimating a normal mean

DOI10.1214/AOS/1176348540zbMath0777.62082OpenAlexW1967309759MaRDI QIDQ1192992

Yoshikazu Takada

Publication date: 27 September 1992

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176348540

zbMATH Keywords

uniform integrabilitysample meanunknown varianceAnscombe's theoremnormal meanunknown meanasymptotically negative regretminimum fixed size riskuniform continuity in probabilityWald's lemma

Mathematics Subject Classification ID

Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (5)

On the asymptotic regret of a sequential procedure for estimating the mean of a normal distribution ⋮ Bias corrected sequential estimation for the mean of nef-pvf distributions ⋮ Bias reduction and negative regret in sequential point extimation ⋮ Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci ⋮ Sequential Fixed-Width Confidence Bounds for some Subset of parameters

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