Multivariate sequential point estimation

Malay Ghosh, Bimal K. Sinha and Nitis Mukhopadhyay

Journal of Multivariate Analysis, 1976, vol. 6, issue 2, 281-294

Abstract: For a multivariate normal distribution with unknown mean vector and unknown dispersion matrix, a sequential procedure for estimating the unknown mean vector is suggested. The procedure is shown to be asymptotically "risk efficient" in the sense of Starr (Ann. Math. Statist. (1966), 1173-1185), and the asymptotic order of the "regret" (see Starr and Woodroofe, Proc. Nat. Acad. Sci. 63 (1969), 285-288) is given. Moderate sample behaviour of the procedure using Monte-Carlo techniques is also studied. Finally, the asymptotic normality of the stopping time is proved.

Keywords: Mean; vector; of; a; multivariate; normal; distribution; point; estimation; squared; error; loss; cost; stopping; times; risk; efficiency; regret; Monte-Carlo; methods; asymptotic; normality; of; stopping; times (search for similar items in EconPapers)
Date: 1976
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Citations: View citations in EconPapers (3)

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