On the asymptotic regret of a sequential procedure for estimating the mean of a normal distribution

DOI10.1016/0378-3758(95)00011-WMaRDI QIDQ1907669zbMATH OpenOpenAlexFDO

Authors Mohamed Tahir

Publication date 13 February 1996

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(95)00011-w

zbMATH Keywords

Anscombe's theorembias-reductionmeannormal distributionregretstopping timeuniform integrability

Mathematics Subject Classification ID

Sequential estimation (62L12)

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Cites work

• 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
• scientific article; zbMATH DE number 3155182 (Why is no real title available?)
• scientific article; zbMATH DE number 3176450 (Why is no real title available?)
• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• On the Convergence of Moments in the Central Limit Theorem
• Second order approximations for sequential point and interval estimation
• The performance of a sequential procedure for the estimation of the mean

Cited in

(5)

• A sequential procedure with asymptotically negative regret for estimating a normal mean
• Minimax regret comparison of hard and soft thresholding for estimating a bounded normal mean
• Bias reduction and negative regret in sequential point extimation
• Further remarks on sequential point estimation of the mean of a multinormal population
• Sequential estimation of normal mean under asymmetric loss function with a shrinkage stopping rule

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