Sequential simultaneous estimation of the mean and variance: The rate of convergence |
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| Authors: | Professor Dr. N. Mukhopadhyay Dr. G. Vik |
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| Affiliation: | 1. Department of Statistics, University of Connecticut, Box U-120, 06268, Storrs, CT, USA
2. Systems Evaluation Group, Norwegian Defense Research Establishment, P.O. Box 25, 2007, Kjeller, Norway
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| Abstract: | We reconsider the problem of simultaneous estimation of the mean and variance of a normal distribution along the lines of Mukhopadhyay (1981), and derive the rate of convergence of the appropriately normalized stopping time to normality. The Berry-Esseen type results for randomly stoppedU-statistics have been utilized repeatedly in this context. |
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