Relative width sequential confidence intervals for the mean

Relative width sequential confidence intervals

Averill M. Law University of Wisconsin-Madison, Madison, Wisconsin, 53706

W. David Kelton University of Wisconsin-Madison, Madison, Wisconsin, 53706

Lloyd W Koenig University of Wisconsin-Madison, Madison, Wisconsin, 53706

Abstract

In this paper we discuss two sequential procedures for constructing confidence intervals for the mean with a relative width requirement. Carefully stating the procedure proposed by Nadas and the procedure considered by Thomas, Iglehart, Robinson, Lavenberg and Sauer, and Law, we give some efficiency and consistency results concerning the latter, and compare their small-sample performances on a variety of stochastic models for which analytic results are available.

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Relative width sequential confidence intervals for the mean