On uniform integrability and asymptotically risk-efficient sequential estimation

DOI10.1080/07474949608836362MaRDI QIDQ4342154zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai

Publication date 3 July 1997

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474949608836362

zbMATH Keywords

martingalesasymptotic approximationsmoment convergenceuniform integrabilitystopping rulesratio estimatorsasymptotic risk efficiencystationary mizing sequences

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Sequential estimation (62L12)

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Cites work

• A Two-Sample Test for a Linear Hypothesis Whose Power is Independent of the Variance
• A note on empirical processes of strong-mixing sequences
• Asymptotic expansions for the moments of a randomly stopped average
• Asymptotic local minimaxity in sequential point estimation
• Asymptotic theory of triple sampling for sequential estimation of a mean
• Bounded regret of a sequential procedure for estimation of the mean
• Complete Convergence and the Law of Large Numbers
• Convergence rates and r-quick versions of the strong law for stationary mixing sequences
• Distribution function inequalities for martingales
• Lacunary systems and generalized linear processes
• Moment Inequalities for the Maximum Cumulative Sum
• Monotonicity of the Variance Under Truncation and Variations of Jensen's Inequality
• On sequential classification of autoregressive processes with unknown variance of noise
• On the Asymptotic Efficiency of a Sequential Procedure for Estimating the Mean
• Probability Inequalities for Sums of Bounded Random Variables
• Probability with Martingales
• Second order approximation to the risk of a sequential procedure
• Sequential estimation of the mean of a first-order stationary autoregressive process
• The performance of a sequential procedure for the estimation of the mean
• sequential estimation of the mean of a linear process

Cited in

(10)

• Sequential Point Estimation of the Location Parameter in the Location-Scale Family of Non-Regular Distributions
• Sequential confidence regions for maximum likelihood estimates.
• Sequential estimation of the variance of an unknown distribution
• Approximations to expected stopping times with applications to sequential estimation
• Sequential determination of the number of bootstrap samples
• Sequential estimation procedures for end points of support in a non-regular distribution
• scientific article; zbMATH DE number 3945173 (Why is no real title available?)
• Uniform asymptotic normality for the Bernoulli scheme
• \(L_ p\) convergence of reciprocals of sample means with applications to sequential estimation in linear regression
• sequestial estimation of a tail probabality of an unknown distribution

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