Short note: Stein's two-stage procedure for the intra-class model |
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| Authors: | Norbert Schmitz |
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| Affiliation: | Institut für Mathematische Statistik , Universit?t Mfünster , Einsteinstr. 62, D-48149 , Mfünster , Germany |
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| Abstract: | ![]()
In his nice paper (Mykhopadhyay, 1982) as well as in his significant monograph (Mykhopadhyay & Solanky, 1994) N. Mykhopadhyay considers the following application of STEIN's two-stage procedure: Suppose that (X 1,..., Xn ) T , n = 1, 2,..., is n-dimensional normal with mean vector µ = µ l and dispersion matrix Σ n =σ 2(ρij ) with ρij = 1, ρij = ρ *, i ≠ j = 1,..., n where (µ, Σ, ρ) ∈ ? × ?+ × (-1, 0); this is called the intra-class model. For given d > 0 and α ∈ (0, 1) one wants to construct a (sequential) confidence interval I for µ having width 2d and confidence coefficient at least (1 - α). It is claimed that  where m ? 2 is the first stage sample size and  | |
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