A Sequential Procedure with Asymptotically Negative Regret for Estimating a Normal Mean
The Annals of Statistics · 1992 · Volume 20 · Issue 1
Abstract
A sequential procedure for estimating the mean of a normal distribution is proposed. The procedure is shown to have a negative regret at the origin and the same regret as the usual procedure at the other point asymptotically.
Keywords
60G40; 62L12; Anscombe's theorem; regret; Sequential procedure; uniform continuity in probability; uniform integrability; Wald's lemma;
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