Asymptotic Expansions in Anscombe's Theorem for Repeated Significance Tests and Estimation after Sequential Testing
Takahashi, Hajime
Ann. Statist., Tome 15 (1987) no. 1, p. 278-295 / Harvested from Project Euclid
Let $x_1, x_2, \cdots$ be independent and normally distributed with unknown mean $\theta$ and variance 1. Let $\tau = \inf \{n \geq 1: |s_n| \geq \sqrt{2a(n + c)}\}$. Then a repeated significance test for a normal mean rejects the hypothesis $\theta = 0$ if and only if $\tau \leq N_0$ for some positive integer $N_0$. The problem we consider is estimation of $\theta$ based on the data $x_1,\cdots, x_T, T = \min\{\tau, N_0\}$. We shall solve this problem by obtaining the asymptotic expansion of the distribution of $(s_\tau - \tau\theta)/\sqrt{\tau}$ as $a \rightarrow \infty$, and then constructing the confidence intervals for $\theta$.
Publié le : 1987-03-14
Classification:  Sequential estimation,  sequential test,  confidence interval,  Anscombe's theorem,  60F05,  62L12,  60K05
@article{1176350266,
     author = {Takahashi, Hajime},
     title = {Asymptotic Expansions in Anscombe's Theorem for Repeated Significance Tests and Estimation after Sequential Testing},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 278-295},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350266}
}
Takahashi, Hajime. Asymptotic Expansions in Anscombe's Theorem for Repeated Significance Tests and Estimation after Sequential Testing. Ann. Statist., Tome 15 (1987) no. 1, pp.  278-295. http://gdmltest.u-ga.fr/item/1176350266/