Sequential estimation of the largest normal mean when the variance is known (Q1234986)

Given a procedure \(\hat{\theta}^\ast\) for estimating the largest mean \(\theta^\ast\) of \(k\) normal populations with common known variance, it is desired to choose the common sample size \(n\) so that the mean squared error (M.S.E.) of \(\hat{\theta}^\ast\) does not exceed a given bound, \(r\), regardless of the configuration of values of the \(k\) means. Let \(\Delta_1 \geqq \cdots \geqq \Delta_k = 0\) be the ordered values of \((\theta^\ast - \theta_i)\), where \(\theta_1, \cdots, \theta_k\) are the unknown means. The M.S.E. depends on the \(\Delta\)'s and the conservative approach chooses a sample size \(n^\ast\) to hold M.S.E. \(\leqq r\) for all \(\Delta\)'s. Sequential and multisample procedures are considered which use sample information about the \(\Delta\)'s to reduce sample sizes. Asymptotic properties of the sample size and M.S.E. of the resulting estimates are developed. Improvements over using \(n^\ast\) are possible, but with limitations. The sample size behavior of any \(\hat{\theta}^\ast\) depends on the limiting variance of the estimator as all of \(\Delta_1, \cdots, \Delta_{k-1}\) become infinite.