THE CONVERGENCE RATE OF FIXED-WIDTH SEQUENTIAL
CONFIDENCE INTERVALS FOR A PARAMETER OF
AN EXPONENTIAL DISTRIBUTION

KEIICHI HIROSE 1, EIICHI ISOGAI 2 AND CHIKARA UNO 1

1 Graduate School of Science and Technology, Niigata University,
8050 Ikarashi 2-cho, Niigata 950-21, Japan

2 Department of Mathematics, Niigata University, 8050 Ikarashi 2-cho, Niigata 950-21, Japan

(Received February 26, 1996; revised June 10, 1996)

Abstract.    In this paper we consider sequential fixed-width confidence interval estimation for a parameter theta = a mu+b sigma with a and b being given constants when the location parameter mu and the scale parameter sigma of the negative exponential distribution are unknown. We investigate the rate of convergence of the coverage probability for fixed-width sequential confidence intervals of theta .

Key words and phrases:    Two-parameter exponential, sequential confidence intervals, coverage probability, convergence rate.

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