On uniform integrability and asymptotically risk-efficient sequential estimation
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Publication:4342154
DOI10.1080/07474949608836362zbMATH Open0876.62069OpenAlexW1980699816MaRDI QIDQ4342154FDOQ4342154
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
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martingalesasymptotic approximationsmoment convergenceuniform integrabilitystopping rulesratio estimatorsasymptotic risk efficiencystationary mizing sequences
Cites Work
- Probability Inequalities for Sums of Bounded Random Variables
- Moment Inequalities for the Maximum Cumulative Sum
- Probability with Martingales
- Complete Convergence and the Law of Large Numbers
- A note on empirical processes of strong-mixing sequences
- A Two-Sample Test for a Linear Hypothesis Whose Power is Independent of the Variance
- Distribution function inequalities for martingales
- sequential estimation of the mean of a linear process
- Convergence rates and r-quick versions of the strong law for stationary mixing sequences
- Second order approximation to the risk of a sequential procedure
- Asymptotic theory of triple sampling for sequential estimation of a mean
- Asymptotic local minimaxity in sequential point estimation
- On the Asymptotic Efficiency of a Sequential Procedure for Estimating the Mean
- The performance of a sequential procedure for the estimation of the mean
- Bounded regret of a sequential procedure for estimation of the mean
- Sequential estimation of the mean of a first-order stationary autoregressive process
- Asymptotic expansions for the moments of a randomly stopped average
- Monotonicity of the Variance Under Truncation and Variations of Jensen's Inequality
- Lacunary systems and generalized linear processes
- On sequential classification of autoregressive processes with unknown variance of noise
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
- Title not available (Why is that?)
- Uniform asymptotic normality for the Bernoulli scheme
- Sequential Estimation Procedures for End Points of Support in a Non-Regular Distribution
- \(L_ p\) 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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