Abstract: | Let X1…, Xm and Y1…, Yn be two independent sequences of i.i.d. random variables with distribution functions Fx(.|θ) and Fy(. | φ) respectively. Let g(θ, φ) be a real-valued function of the unknown parameters θ and φ. The purpose of this paper is to suggest a sequential procedure which gives a fixed-width confidence interval for g(θ, φ) so that the coverage probability is approximately α (preas-signed). Certain asymptotic optimality properties of the sequential procedure are established. A Monte Carlo study is presented. |