The Annals of Statistics

Sequential Determination of Estimator as Well as Sample Size

Adam T. Martinsek

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Abstract

For certain point and interval estimation problems, sequential procedures are proposed for choosing an estimator (from the class of trimmed means with trimming proportion in a specified range) as well as a sample size on which to base the estimator. It is shown that these procedures, which do not require knowledge of the best trimming proportion or the asymptotic variance of the corresponding trimmed mean, are asymptotically efficient with respect to the procedure that uses the best trimmed mean (in the specified class) and the best fixed sample size for that trimmed mean.

Article information

Source
Ann. Statist., Volume 12, Number 2 (1984), 533-550.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346504

Digital Object Identifier
doi:10.1214/aos/1176346504

Mathematical Reviews number (MathSciNet)
MR740910

Zentralblatt MATH identifier
0544.62075

JSTOR
links.jstor.org

Subjects
Primary: 62L12: Sequential estimation
Secondary: 62F35: Robustness and adaptive procedures 62G05: Estimation

Keywords
Sequential point estimation fixed-width confidence interval trimmed mean asymptotic efficiency adaptive estimation uniform integrability

Citation

Martinsek, Adam T. Sequential Determination of Estimator as Well as Sample Size. Ann. Statist. 12 (1984), no. 2, 533--550. doi:10.1214/aos/1176346504. https://projecteuclid.org/euclid.aos/1176346504


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