Remarks on sequential point estimation.
We consider utilizing a sequential experiment for estimating the mean of a normal distribution when the variance of the distribution is unknown. For a suitable choice of the design constants of the experiment and for loss structures of practical interest, it is shown that the difference in the expected loss with optional stopping and the expected loss which would be incurred if sigma were known is a bounded function of sigma.
UNIVERSITY OF MICHIGAN.
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Starr
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Woodroofe