Asymptotic theory of sequential estimation : Differential geometrical approach

Sequential estimation continues observations until the observed sample satisfies a prescribed criterion. Its properties are superior on the average to those of nonsequential estimation in which the number of observations is fixed a priori. A higher-order asymptotic theory of sequential estimation is given in the framework of geometry of multidimensional curved exponential families. This gives a design principle of the second-order efficient sequential estimation procedure. It is also shown that a sequential estimation can be designed to have a covariance stabilizing effect at the same time.

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