A sequential procedure for estimating the mean of a normal distribution is proposed. The procedure is shown to have a negative regret at the origin and the same regret as the usual procedure at the other point asymptotically.
Publié le : 1992-03-14
Classification:
Sequential procedure,
regret,
uniform integrability,
uniform continuity in probability,
Wald's lemma,
Anscombe's theorem,
62L12,
60G40
@article{1176348540,
author = {Takada, Yoshikazu},
title = {A Sequential Procedure with Asymptotically Negative Regret for Estimating a Normal Mean},
journal = {Ann. Statist.},
volume = {20},
number = {1},
year = {1992},
pages = { 562-569},
language = {en},
url = {http://dml.mathdoc.fr/item/1176348540}
}
Takada, Yoshikazu. A Sequential Procedure with Asymptotically Negative Regret for Estimating a Normal Mean. Ann. Statist., Tome 20 (1992) no. 1, pp. 562-569. http://gdmltest.u-ga.fr/item/1176348540/