Asymptotic optimality in sequential interval estimation

  • Authors:
  • Michael Woodroofe

  • Affiliations:
  • Department of Statistics, University of Michigan, Ann Arbor, Michigan 48109 U.S.A.

  • Venue:
  • Advances in Applied Mathematics
  • Year:
  • 1986

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Abstract

The problem of setting a fixed width confidence interval for the mean of a normal distribution with unknown variance is considered. Several procedures are reviewed. An asymptotic lower bound for the expected sample size of any sequential sampling plan with the specified confidence coefficient is obtained as the width of the interval decreases to 0.