Unbiased estimation following a group sequential test

被引：49

作者：

Liu, AY

Hall, WJ

机构：

[1] St Jude Childrens Res Hosp, Dept Biostat & Epidemiol, Memphis, TN 38134 USA

[2] Univ Rochester, Med Ctr, Dept Biostat, Rochester, NY 14642 USA

来源：

BIOMETRIKA | 1999年 / 86卷 / 01期

关键词：

Brownian motion; truncation-adaptation;

D O I：

10.1093/biomet/86.1.71

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

It is shown that, in a group sequential test about the drift theta of a Brownian motion X(t) stopped at time T,the sufficient statistic (T, X(T)) is not complete for theta. There exist infinitely many unbiased estimators of theta and none has uniformly minimum variance. A truncation-adaptable criterion is proposed, and the uniformly-minimum-variance estimator among all truncation-adaptable unbiased estimators is found. This estimator is identical to estimators of Ferebee (1983) and Emerson & Fleming (1990).

引用

页码：71 / 78

页数：8

共 10 条

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[2] DEFINING CURVATURE OF A STATISTICAL PROBLEM (WITH APPLICATIONS TO 2ND ORDER EFFICIENCY) [J].