(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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