Abstract
An important statistical inference problem in sequential analysis is the construction of confidence intervals following sequential tests, to which Michael Woodroofe has made fundamental contributions. This paper reviews Woodroofe's method and other approaches in the literature. In particular it shows how a bias-corrected pivot originally introduced by Woodroofe can be used as an improved root for sequential bootstrap confidence intervals.
Information
Published: 1 January 2006
First available in Project Euclid: 28 November 2007
zbMATH: 1268.62095
Digital Object Identifier: 10.1214/074921706000000590
Subjects:
Primary:
62G09
,
62G20
Secondary:
60F05
Keywords:
bias due to optional stopping
,
bootstrap
,
coverage probabilities
,
hybrid resampling
,
very weak expansions
Rights: Copyright © 2006, Institute of Mathematical Statistics
