2ND-ORDER APPROXIMATIONS TO 2 CLASSES OF SEQUENTIAL ESTIMATION PROCEDURES

For the model considered by Chaturvedi, Pandey and Gupta (1991), two c lasses of sequential procedures are developed to construct confidence regions (which may be interval, ellipsoidal or spherical) of 'pre-assi gned width and coverage probability' for the parameters of interest an d for the minimum risk point estimation (taking loss to be quadratic p lus linear cost of sampling) of the nuisance parameter. Second-Order a pproximations are derived for the expected sample size, coverage proba bility and 'regret' associated with the two classes of sequential proc edures. A simple and direct method of obtaining the asymptotic distrib ution of the stopping time is provided. By means of examples, it is il lustrated that several estimation problems can be tackled with the hel p of proposed classes of sequential procedures.