On the asymptotic regret of a sequential procedure for estimating the mean of a normal distribution

DOI10.1016/0378-3758(95)00011-WzbMath0839.62076OpenAlexW2085376056MaRDI QIDQ1907669

Mohamed Tahir

Publication date: 13 February 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00011-w

zbMATH Keywords

stopping timeuniform integrabilitymeannormal distributionregretAnscombe's theorembias-reduction

Mathematics Subject Classification ID

Sequential estimation (62L12)

Cites Work

• The performance of a sequential procedure for the estimation of the mean
• A sequential procedure with asymptotically negative regret for estimating a normal mean
• Second order approximations for sequential point and interval estimation
• An asymptotic lower bound for the local minimax regret in sequential point estimation
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• On the Convergence of Moments in the Central Limit Theorem
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