Sequential simultaneous estimation of the mean and variance: The rate of convergence (Q1084819): Difference between revisions
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Revision as of 14:45, 11 February 2024
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English | Sequential simultaneous estimation of the mean and variance: The rate of convergence |
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Sequential simultaneous estimation of the mean and variance: The rate of convergence (English)
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1986
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Suppose \(X_ 1,X_ 2,...\), is a sequence of i.i.d. random variables each distributed \(N(\mu,\sigma^ 2)\) where both parameters \(\mu\) and \(\sigma^ 2\) are unknown. The authors consider the problem of simultaneous estimation of \(\mu\) and \(\sigma^ 2\). They define stopping rules in this estimation problem and derive the rate of convergence of the corresponding normalized quantities to normality. Other interesting topics are discussed too.
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mean
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variance
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Berry-Esseen type results for randomly stopped U- statistics
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normal distribution
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simultaneous estimation
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stopping rules
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rate of convergence
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