Estimation in the general linear model when the accuracy is specified before data collection
The author uses a concept of accuracy saying that an estimator \({\hat \beta}\) of \(\beta\) is accurate with accuracy A and confidence c, \(0<c<1\), if P(\({\hat \beta}\)-\(\beta\in A)\geq c\) for all \(\beta\). Note that A need only be any Borel set having an interior point at zero. Given a sequence \(Y_ 1,Y_ 2,..\). of independent vector-valued homoscedastic normally-distributed random variables generated via the general linear model \(Y_ i=X_ i\beta +\epsilon\), the k-dimensional parameter \(\beta\) is accurately estimated using a sequential version of the well-known maximum probability estimator developed by \textit{L. Weiss} and \textit{J. Wolfowitz} [Ann. Inst. Stat. Math. 19, 193-206 (1967; Zbl 0183.212); see also Maximum probability estimators and related topics. (1974; Zbl 0297.62015)]. The procedure also generalizes \textit{C. Stein}'s [Ann. Math. Stat. 16, 243-258 (1945; Zbl 0060.304)] fixed-width confidence sets to several dimensions. Some examples are given to illustrate the procedure.
- Confidence intervals with fixed proportional accuracy
- Asymptotic optimality in sequential interval estimation
- Three-stage accurate estimation in the general linear model
- Estimation in some binary regression models with prescribed accuracy
- Second-Order Approximations to Two Classes of Sequential Estimation Procedures
- Sequential estimation of a linear function of mean vectors
- Fixed-size confidence regions in high-dimensional sparse linear regression models
- Seqrential point estimation in regression models with nonnormal errors
- TWO-stage accurate estimation in the general linear model
- The use of a monetary loss function to determine the optimal fractional replicate of factorial experiments
- Asymmetric Penalized Prediction Using Adaptive Sampling Procedures
- Sequential fixed width confidence intervals for regression parameters from censored data with a discrete covariate
- Multi-stage procedures for the minimum risk and bounded risk point estimation of the location of negative exponential distribution under the modified LINEX loss function
- Multi-stage point estimation of the mean of an inverse Gaussian distribution
- Sequential confidence regions of generalized linear models with adaptive designs
- Fixed size confidence regions for parameters of threshold AR(1) models
- Sequential estimation in regression models using analogues of trimmed means
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