The asymptotic consistency and efficiency of fixed-size sequential confidence sets

• Autorzy: Różański Roman
• Języki publikacji: EN

Abstrakty

EN

In the paper, a sequential confidence set based on an estimation process of a multivariate parameter is constructed. Under the assumption that the estimation process scaled by an increasing positive process has an asymptotic distribution it is proved that the sequential confidence set is asymptotically consistent and asymptotic- ally efficient. The results are applied to the sequential confidence sets based on maximum likelihood estimators of a multivariate parameter in the iid case and in the exponential class of processes.

Słowa kluczowe

EN

sequential confidence set; asymptotic distribution; estimation process

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 1998
• Tom: Vol. 18, Fasc. 1
• Strony: 19--31
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Różański Roman

• Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, PL-50-370 Wrocław, Poland

Bibliografia

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