Bias reduction and negative regret in sequential point extimation

DOI10.1080/10485250108832848zbMath1028.62068OpenAlexW2003839959MaRDI QIDQ2720135

Mohamed Tahir, Kamel Rekab

Publication date: 27 January 2004

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250108832848

zbMATH Keywords

kurtosisskewnessregretAnscombe's theorembias-reduction estimatorexcess over the stopping boundary

Mathematics Subject Classification ID

Sequential estimation (62L12)

Cites Work

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• Second order approximation to the risk of a sequential procedure
• The performance of a sequential procedure for the estimation of the mean
• A sequential procedure with asymptotically negative regret for estimating a normal mean
• An asymptotic lower bound for the local minimax regret in sequential point estimation

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