Conditional Expectation and Unbiased Sequential Estimation
Blackwell, David
Ann. Math. Statist., Tome 18 (1947) no. 4, p. 105-110 / Harvested from Project Euclid
It is shown that $E\lbrack f(x) E(y \mid x)\rbrack = E(fy)$ whenever $E(fy)$ is finite, and that $\sigma^2E(y \mid x) \leq\le \sigma^2y$, where $E(y \mid x)$ denotes the conditional expectation of $y$ with respect to $x$. These results imply that whenever there is a sufficient statistic $u$ and an unbiased estimate $t$, not a function of $u$ only, for a parameter $\theta$, the function $E(t \mid u)$, which is a function of $u$ only, is an unbiased estimate for $\theta$ with a variance smaller than that of $t$. A sequential unbiased estimate for a parameter is obtained, such that when the sequential test terminates after $i$ observations, the estimate is a function of a sufficient statistic for the parameter with respect to these observations. A special case of this estimate is that obtained by Girshick, Mosteller, and Savage [4] for the parameter of a binomial distribution.
Publié le : 1947-03-14
Classification: 
@article{1177730497,
     author = {Blackwell, David},
     title = {Conditional Expectation and Unbiased Sequential Estimation},
     journal = {Ann. Math. Statist.},
     volume = {18},
     number = {4},
     year = {1947},
     pages = { 105-110},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177730497}
}
Blackwell, David. Conditional Expectation and Unbiased Sequential Estimation. Ann. Math. Statist., Tome 18 (1947) no. 4, pp.  105-110. http://gdmltest.u-ga.fr/item/1177730497/