Asymptotically bounded regret sequential estimation of the mean

DOI10.1080/07474948808836155MaRDI QIDQ3809081zbMATH OpenOpenAlexFDO

Authors Yoshikazu Takada

Publication date 1988

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948808836155

zbMATH Keywords

asymptotic consistencyasymptotic efficiencyasymptotically bounded regretsgiven constant riskmean of an unspecified distributionreverse martingalereverse submartingalesequential ruletwo-stage rule

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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Cites work

• A note on three-stage and sequential point estimation puocedures for a normal mean
• Bounded regret of a sequential procedure for estimation of the mean
• On the Asymptotic Theory of Fixed-Width Sequential Confidence Intervals for the Mean
• On the Cost of not Knowing the Variance when Making a Fixed-Width Confidence Interval for the Mean
• The performance of a sequential procedure for the estimation of the mean

Cited in

(4)

• A sequential procedure with asymptotically negative regret for estimating a normal mean
• An asymptotic lower bound for the local minimax regret in sequential point estimation
• A robust two-stage procedure in Bayes sequential estimation of a particular exponential family
• Sequential point estimation for branching processes i, subcritical case

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