A sequential procedure for simultaneous estimation of several means

Sequential procedures for controlling the length of a simulation run are widely used when a single mean is estimated, In many practical situations, however, the analyst is simultaneously interested in several means We propose a sequential procedure for controlling the length of a simulation run when several means are simultaneously estimated. A lower bound on the overall level of confidence for a set of interval estimates on each mean is obtained with the Bonferroni inequality. The primary advantage of applying the Bonferrom inequality is that the precision are easy to interpret. In addition, we can use the existing methods for estlmatmg the variances of the means, since the covariances of estimates are not needed,

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