Fixed accuracy confidence interval on the common variance in compound symmetric multivariate normal sampling

Abstract

This work deals with construction of fixed accuracy confidence intervals for the common variance in compound symmetric multivariate normal distribution by adopting a Stein-type two-stage setup and a completely sequential setup. Related asymptotics are developed and the procedures are evaluated by simulation study.

KEYWORDS:

• Compound symmetric multivariate normal
• fixed accuracy
• sequential sampling
• stopping variable
• two-stage sampling

SUBJECT CLASSIFICATIONS:

• 62F25
• 62H10
• 62L10

Acknowledgments

We thank the referee(s), the corresponding Associate Editor, and the Editor for their valuable suggestions. We also thank Aniket Biswas for pointing out a mistake in the numerical study.