Bias correction and confidence intervals following sequential tests

Details Bias correction and confidence intervals following sequential tests Bias correction and confidence intervals following sequential tests

2006-11-22

arxiv.org/abs/math/0611677v1

IMS Lecture Notes--Monograph Series 2006, Vol. 50, 44-57

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921706000000590 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/

Scientific paper

10.1214/074921706000000590

An important statistical inference problem in sequential analysis is the construction of confidence intervals following sequential tests, to which Michael Woodroofe has made fundamental contributions. This paper reviews Woodroofe's method and other approaches in the literature. In particular it shows how a bias-corrected pivot originally introduced by Woodroofe can be used as an improved root for sequential bootstrap confidence intervals.

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