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Fixed-width interval estimation of the minimum point of a regression function based on the Kiefer-Wolfowitz procedure |
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| Authors: | Marek Mczarski |
| Affiliation: | Central School of Planning and Statistics, Institute of Econometrics, PL-02-554 Warsaw, Poland |
| Abstract: | A version of the central limit theorem for the Kiefer-Wolfowitz procedure is stated. One constructs an asymptotically consistent fixed-width confidence interval for the minimum of a regression function. It is shown that the first moment of the corresponding stopping rule is finite. Both the construction and properties of the estimates of unknown parameters and an adaptive version of the procedure are presented. |
| Keywords: | Kiefer-Wolfowitz procedure central limit theorem sequential fixed-width interval estimation asymptotic consistency asymptotic efficiency adaptive procedure |
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