Accurate multivariate estimation using triple sampling (Q756332)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Accurate multivariate estimation using triple sampling |
scientific article |
Statements
Accurate multivariate estimation using triple sampling (English)
0 references
1990
0 references
With \(\underset{\tilde{}} X_ 1,\underset{\tilde{}} X_ 2,..\). i.i.d. random p-vectors with unknown mean \({\underset{\tilde{}} \theta}\) and positive-definite covariance matrix \({\underset{\tilde{}} \Sigma}\), it is desired to determine a sample size \(\tau\) such that the resulting estimator \({\hat \theta}{}_{\tau}\) of \(\theta\) has accuracy A and confidence \(\gamma\) : P(\({\hat \theta}\)-\(\theta\in A)\geq \gamma\). Under these conditions a sequential or step-sequential procedure will be necessary. Restricting data collection to stages, double-sampling procedures with pilot sample size m will be relatively inefficient if m is small relative to N. A triple-sampling procedure is proposed, that achieves finite regret and second-order asymptotic efficiency. The method consists in revising the sample size estimate coming from the first (pilot) sample, after collecting a fraction of the additional observations prescribed under double sampling. Double sampling, triple sampling and purely sequential sampling are compared in terms of regrets, asymptotic variances of stopping times, approximate distributions of stopping times, and coverage probabilities.
0 references
multiresponse estimation experiment
0 references
three-stage estimation
0 references
confidence sets
0 references
multivariate normal distribution
0 references
double-sampling procedures
0 references
pilot sample
0 references
triple-sampling procedure
0 references
second-order asymptotic efficiency
0 references
purely sequential sampling
0 references
regrets
0 references
asymptotic variances of stopping times
0 references
approximate distributions of stopping times
0 references
coverage probabilities
0 references