Asymptotic expansions are derived for a class of averages of the coverage probabilities for some sequential confidence bounds, when the data consist of i.i.d. observations from a one-parameter exponential family. These expansions show the effect of the optional stopping on the coverage probabilities quite clearly and provide a method for changing the confidence limits to reduce this effect.
Publié le : 1986-09-14
Classification:
Sequential confidence bounds,
average coverage probabilities,
posterior distributions,
asymptotic expansions,
estimation following sequential testing,
62L12
@article{1176350049,
author = {Woodroofe, Michael},
title = {Very Weak Expansions for Sequential Confidence Levels},
journal = {Ann. Statist.},
volume = {14},
number = {2},
year = {1986},
pages = { 1049-1067},
language = {en},
url = {http://dml.mathdoc.fr/item/1176350049}
}
Woodroofe, Michael. Very Weak Expansions for Sequential Confidence Levels. Ann. Statist., Tome 14 (1986) no. 2, pp. 1049-1067. http://gdmltest.u-ga.fr/item/1176350049/