Further remarks on sequential point estimation of the mean of a multinormal population

Abstract

Asymptotic behaviour of the regret is studied for the sequential procedure developed by Wang (1980) for the point estimation of the mean of a multinormal population. A condition on the initial sample size is also provided for which the regret is bounded.

Keywords:

• Mean vector of a multinormal population
• point estimation
• loss
• risk
• stopping time
• regret
• martingales