On an extension of a theorem by woodroofe and yu

Abstract

An extension of a theorem by Woodroofe (1977) and Yu (1981) is provided which establishes, under certain conditions, the "asymptotic second-order efficiency" (in the sense of Ghosh and Mukhopadhyay (1981)) of certain stopping rules that arise from problems in sequential estimation. The outcome of a limited Monte Carlo study is also discussed.

Keywords:

• sequential estimation
• simulation study
• stopping rule