On Robust Sequential Confidence Intervals,
NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF STATISTICS
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The comparison in another paper of sequential confidence intervals of fixed length proposed by Chow and Robbins and Serfling and Wackerly are extended to include robust stopping rules based on M-estimators. It is found that a difference in the asymptotic variances exists, a phenomenon not observed in the previous paper. A method is given which makes the approach computationally feasible.
- Statistics and Probability