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Sequential estimation of the variance of an unknown distribution |
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| Authors: | Z Govindarajulu Alexei Dmitrienko |
| Institution: | a Department of Statistics, University of Kentucky, 839 Patterson Office Tower, Lexington, KY 40506, USA b Lilly Research Laboratories, Eli Lilly and Company, Indianapolis, IN 46285, USA |
| Abstract: | Sequential fixed-width and risk-efficient estimation of the variance of an unspecified distribution is considered. The second-order asymptotic properties of the sequential rules are studied. Extensive simulation studies are carried out in order to study the small sample behavior of the sequential rules for some frequently used distributions. |
| Keywords: | Fixed-width confidence intervals Risk-efficient estimation Second-order approximation |
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