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A pilot Monte Carlo study of two sequential estimation procedures based on generalized U-statistics
Authors:George W. Williams
Affiliation:University of Michigan , Ann Arbor , Michigan , 48109
Abstract:Recently two sequential estimation procedures based on generalized U-statistics have appeared in the statistical literature [Williams and Sen (1973, 1974)]. One of these procedures concerns the multi-sample problem of estimating a vector of parameters when the total sample size is fixed. The other procedure concerns the multi-sample problem of constructing a confidence ellipsoid of bounded maximum width for a vector of parameters. To supplement the asymptotic theory discussed in these earlier papers, a Monte Carlo study investigating the efficiency of these procedures for moderate sample sizes would be useful. This paper describes a preliminary Monte Carlo study utilizing a small number of replications and performed to provide information for the design of a more extensive study.
Keywords:consistency  efficiency  generalized variance  bivariate normal distribution  Wilcoxon statistic  Lehmann’s scale statistic  estimable parameters  confidence region
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