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Sequential confidence sets with beta-protection in multiparameter families

 

作者: Issa Fakhre Zakeri,  

 

期刊: Sequential Analysis  (Taylor Available online 1989)
卷期: Volume 8, issue 1  

页码: 1-26

 

ISSN:0747-4946

 

年代: 1989

 

DOI:10.1080/07474948908836165

 

出版商: Marcel Dekker, Inc.

 

关键词: equiuariant procedure;stopping time;asymptotic optimality;asymptotic normality;asymptotic efficiency

 

数据来源: Taylor

 

摘要:

We consider a class of invariant sequential procedures for constructing one sided and two sided confidence sets for a parameter γ in Rk, with the property that they have a coverage probability at least 1 ‒a and probability of covering a certain set of false values at most β. The asymptotic properties of the stopping time are studied and the limiting values of the error probabilities are found as the parameter approaches the boundary points. Applications are made to the problem of simultaneous confidence sets for the mean and variance of a normal random vari¬able and for its multivariate analogue.

 

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