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VOL. 50 | 2006 Bias correction and confidence intervals following sequential tests
Tze Leung Lai, Zheng Su, Chin Shan Chuang

Editor(s) Jiayang Sun, Anirban DasGupta, Vince Melfi, Connie Page


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.


Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62095

Digital Object Identifier: 10.1214/074921706000000590

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


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