(Received September 18, 1989; revised July 23, 1990)
Abstract. The sequential procedure developed by Bhargava and Srivastava (1973, J. Roy. Statist. Soc. Ser. B, 35, 147-152) to construct fixed-width confidence intervals for contrasts in the means is further analyzed. Second-order approximations for the first two moments of the stopping time and the coverage probability associated with the sequential procedure, are obtained. A lower bound for the number of ``additional'' observations after stopping is derived, which ensures the ``exact'' probability of coverage. Moreover, two-stage, three-stage and ``modified'' sequential procedures are proposed for the same estimation problem. Relative advantages and disadvantages of these sampling schemes are discussed and their properties are studied.
Key words and phrases: Confidence intervals, contrasts in the means, fixed-width, multi-stage estimation.
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