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Page 1: A sequential procedure for estimating ratio of normal parameters

This article was downloaded by: [Florida Atlantic University]On: 25 November 2014, At: 09:09Publisher: Taylor & FrancisInforma Ltd Registered in England and Wales Registered Number:1072954 Registered office: Mortimer House, 37-41 Mortimer Street,London W1T 3JH, UK

Communications in Statistics- Theory and MethodsPublication details, including instructions forauthors and subscription information:http://www.tandfonline.com/loi/lsta20

A sequential procedure forestimating ratio of normalparametersC. Uno & E. IsogaiPublished online: 16 Feb 2011.

To cite this article: C. Uno & E. Isogai (1999) A sequential procedure forestimating ratio of normal parameters, Communications in Statistics - Theory andMethods, 28:1, 233-244

To link to this article: http://dx.doi.org/10.1080/03610929808832293

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Page 2: A sequential procedure for estimating ratio of normal parameters

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Page 3: A sequential procedure for estimating ratio of normal parameters

COMMUN. STATIST .- THEO RY M ETH. , 28( 1), 233-244 (\ 999)

A SEQUENTIAL PROCEDURE FOR ESTIMATING RATIOOF NORMAL PARAMETERS

Chikara Uno

Department of MathematicsAkit a University

Akita 010-8502, Jap an

Eiichi Isogai

Department of MathematicsNiigata University

Niigata 950-2181, Japan

K ey Words: sequential est ima to r; second order approxima t ion; regret ; uniformintegrab ility.

ABSTRACT

Sequ ential point est imat ion of the ra tio J1. /a of normal parameters is con­side red . We propose a class of sequential esti mators which includes estimatorswith th e smaller risk th an that of Sriram 's (1990) one.

1. INTRODUCTION

Let Xl , X 2 , • • • be independent observations from a normal population withmean J1. and variance a 2 (0 < a < 00), both unknown. Given a randomsample Xl, . . . , Xn of size n (~ 2) , one wishes to estimate ratio 0 = J1./a by

On = Xn/Sn, subject to the loss function

Ln = A(On - 0)2+ n ,

233

Copyr ight to 1999 by Marcel Dekker . Inc . www .de kker.com

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Page 4: A sequential procedure for estimating ratio of normal parameters

234 UNO AND ISOGAI

where X n = n - I L::?=I Xi , S~ = (n _ 1)- 1L::~ I(Xi - X n )2 and A is a knownpositive constant . The risk is given by

We want to find an appropriate sample size that will min imize the risk. This

problem was first considered by Sri ram (1990).

As shown in Sriram (1990), we have

Ro = E (L n ) = n- I A(1 + ~(P ) + n + O(n- ~) as n ~ 00.

If we ignore th e above ord er term O(n- ~ ) , t hen it can be seen th at th e riskRo is minimized at no ;:::: At -y (in pract ice, one of the two integers closestto this value) with Roo ;:::: 2At-y , where -y2 = (1 + !82) and -y > O. Since8 is unknown, however , t he bes t fixed sa mple size procedure no can not beused. Further, th ere is no fixed sample size procedure th at will attain therisk 2A t -y. Thus it is necessary to find a sequ ential sa mpling rule. For this

problem, Sri ram (1990 ) proposed the stopping rule

T = TA = inf{n ~ m : n ~ At(1 + ~B~)t} , (1.1 )

where m ~ 2 is th e st arting sample size. Estimating 8 by BT = XT/ST, the

risk of this sequ enti al pro cedure is given by

RT = E{A(BT - 8)2+ T} .

It is interest ing to know how close RT is to 2At -y. As a measure of closenesswe shall use th e difference RT - 2At -y called regret. Sriram (1990) gave anasymptotic expansion for the regret : as A ~ 00,

R - t - 1186+4484+7682+64

() (1.2)T 2A -y - 8(82 + 2)3 + 0 1 .

The result of (1.2) is slightly different from that of Theorem 2 in Sriram (1990) .We think that Sriram's (1990) result has a minor error.

In this paper, we consider a class of sequential estimators of 8 and showthat our procedure has the smaller risk than that of Sriram's (1990) procedureBT • In Section 2 we shall present main results, including the second orderapproximation to the risk of the proposed procedure. Proofs of the results ar e

given in the final section. In Section 3 we shall present simulation results. Asfor sequential interval estimation of ratio 8 of normal parameters, see Takada

(1997) .

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Page 5: A sequential procedure for estimating ratio of normal parameters

ESTIMATING RATIO OF NORMAL PARAMETERS

2. MAIN RESULTS

We consider a class of estima tors {OHk), -00 < k < oo} of (J , where

A (k) A(J;'(k) = 1 + T (JT ,

and define the risk by

RT(k) = E{A(O;'(k) - (J) 2+ T} .

235

(2.1)

Then OT coincides with OHO) and hence RT == RT(O) . For given k, est imat ing(J by OHk), we obtain th e theorems conce rn ing the asymptotic expansions of

the bias and risk of OHk).

Theorem 1. As A --> 00 ,

E{O;'(k)} - (J = (k + i)(J'Y-1A-t + o(A- t ).

Theorem 2. As A --> 00 ,

Let 6. k = 'Y-2{ (J2k2+ 2k(1 + i(J2)}. For -~ < k < 0, 6.k < 0 for all (J .Hence from Theorem 2, the class of estimators {OHk), -~ < k < O} improves

Sriram's (1990) pro cedure OT in the risk . Specially for k = -i,from Theorem1, we get

E{O;'(-i)} = (J + o(A-t) as A --> 00,

that is, OH- i) = (1 - 4~ )OT is a second order asymptotically unbiased esti­mator of (J.

lf Jl = 0, then from Theorem 2 and (1.2), the second order approximationto the regret is the following:

RT(k) - 2At'Y RT(k) - RT + (RT - 2At'Y)

= 2k + 1 + 0(1), (2.2)

which surprisingly brings about large negative regret for sufficiently large neg­

ative k , This phenomenon of large negative regret is observed in terms of

simulation in Section 3. Since Jl is unknown , however, we should not use the

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Page 6: A sequential procedure for estimating ratio of normal parameters

236 UNO AND ISOGAI

estimator OT(k) for large negative value of k, because it follows from Theorem2 that in the case of Jl i= 0, th e risk of th e proposed estimator OT(k) withk < -2(t + ~) is not small as compared with that of Sriram 's (1990) pro­cedure. Therefore, for estimating unknown 0, we recommend our sequent ialestimator OT( - t) = (1 - 4~ )Or which has smaller risk than th at of Sriram 's(1990) procedure for any 0:

• ( 1) 02+ 8 ( )RT -4 - Rr = - 8(02 + 2) + 0 1 as A -> 00 .

3. SIMULATION RESULTS

In this sect ion , we shall present simulation results. We consid er here twocases N(O,I) with () = 0 and N(I ,I ) with 0 = 1. For each case, we takea = 50 and a = 100 (no ~ a, Rno ~ 2a) where a = A~ "y. Set th e pilotsample size m = A ~ . Our simulation resul ts are given by Tables I and H,in which each ent ry is based on 10,000 repetitions. It seems from the MonteCarlo simulation that our bias-corrected sequential procedure OT(-t) definedby (2.1) with k = -t is better than Sriram's (1990) pro cedure Or in terms ofthe estimate of () and the risk.

As we have seen in Section 2, for esti mating () = 0, a sequential pro cedureOT(k) defined by (2.1) with large negative k can reduce the risk . Table ill is asimulation result for estimating 0 = 0 by OT(k) with k = -15 when a = 150(A = 22500). The starting sample size is still m = A~ and each entry in Tableill is also based on 10,000 repetitions. Our simulation result given by Table illseems to justify the equation (2.2). Since 0 is unknown, however, OT(k) withlarge negative value of k is impractical.

4. PROOFS

In this section, we shall give th e proofs of Theorems 1 and 2. We will usethe notations in Sriram (1990). Let

Zi = (Xi - Jl)/u, D; = I:?=lZi , Zn = n -1Dn , a~ = S~/U2 ,

82 = Jl2+2u2, (}1=Jl2/(282), (}2=Jlu/82 and 03 = (Jl2+ u2)/(282).

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ESTIMATING RATIO OF NORMAL PARAMETERS

TABLE

237

N (O,l)() =O

E(T)E(8T)E(8T(- t ))

RTRj.(-t )

a = 50

( A = 2500)

51.055 1

- 0.002088

- 0.002077

101. 757152

101.264 427

a = 100

(A = 10000 )

101.0524

0.000817

0.000 815

201.4 85893

200.990879

N( l, l)

() = 1

E(T)E(8T)E(8T(-t ))RTRj.(-l)

TABLE n

a = 50

(A = 2500/1.5)

50.8104

1.003265

0.998361

101.441268

101.095399

TABLE ill

a = 100

(A = 10000/1.5)

100.8550

1.002696

1.000219

201.0 80460

200 .701734

a = 150

(A = 22500 )

N(O,l)

() =o

E(T)E(8T)E(8T(-15.0))

RTRj.(-15.0)

151.0500

-0.000340

-0.000306

298 .262064

270.520534

Further , let K n = Li':l(Zl - 1) and a = At )'. From (1.1 ), we get t hatp eT < 00) = 1 for each A > 0 and T ---; 00 a.s. as A ---; 00 . The sto pping

rule T in (1.1) can be rewritten as

T=inf{n?:m: n+(}lKn-(}2Dn+(n?:a} ,

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Page 8: A sequential procedure for estimating ratio of normal parameters

238

where

UNO AND ISOGAI

and AI ,n and A2,n are intermediate random variables such that IAI ,n - 11 <Io-~ - 11 and IA2,n - 11 < 1(2S~ + X~)D-2 - 11- Sri ram (1990) showed thefollowing lemma.

Lemma. (i) T']a --> 1 a .s. as A --> oo. Further, {(1'/a) -P, A > o} and{(1'/ a)P, A > o} ar e uniformly integrable for all p > o.(ii) 1'-~~T --t 0 in probability as A --> oo.

(iii) For every q > 1,

E {SUP(o-~) -q} < (~rE(o-~)-q < oo if m > 2q + 1.n:2:m

(iv) As A --> oo,- d

UA == T + (}lKT - (}2DT + ~T - a --t H

for some random variable H . Here ,~ , means convergence in distribution.

(v) As A --> (Xl,

1'-~(DT' KT) .s: ((1>(2) ,

where ((I, (2) is a bi-variate normal random vector with mean vector (0,0)and variance-covariance matrix (~ ~) .

(vi) For all T > 0, {la-~DTlr, A > u} and {la-~KTlr, A > O} are uniformlyintegrable.

(vii) For all s > 0, {1(1' - a)/VCi!S, A > o} is uniformly integrable.

Since T ~ A! from (1.1), we may choose the starting sample size m ~ ALSince the results of this paper are valid only for large A, given any q > 1 wecan choose A large so that m > 2q + 1. We are now in the position to provethe results in Section 2.

Proof of Theorem 1. Let k be any fixed constant. Then OHk) - ()OT - () + ~OT ' Since OT - () = ZTo-T I + (}(o-T I - 1),

E(OT)-(}=E(ZTo-TI)+(}E(o-TI -1)= I + II , say . (4.1)

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Page 9: A sequential procedure for estimating ratio of normal parameters

ESTIMATING RATIO OF NORMAL PARAMETERS 239

From t he results (3.25) and (3.26) of Sriram (1990) , it follows th at E{Zr(aTI­

I)} = o(a- I ) . Hence by Wald 's lemm a, as A -+ 00,

I E{Zr (aTI - I)} + EZr

a-IE{ (f -1) Dr} +o(a- I). (4.2)

From Lemma (ii) , (iv) and (v) , we have

(f -1) Dr = - [T- 4{UA + B2Dr - BIKr - (r}T - 4Dr ]

and as A -+ 00 ,

[T- 4{UA + B2Dr - BIKr - ~r}T- 4Drl ~ (B2( 1 - BI(2)(1'

Since, by Schwarz's inequality, for Q' > 1,

E !(f - 1)DrlQ~ {E (a/T )2Q}t{EI(T - !l)/vaI4Q}t{E la- tDr I4Q} t ,

it follows from Lemma (i), (vi) and (vii) that {I(f - 1) Drl' A > o] is uni­forml y integrable , which yields

-E{(B2( 1 - BI(2)(d + 0(1)

-B2 + 0(1 ). (4.3)

To obtain such a un iform integrability, in this paper, Schwar z's inequalityargumen ts similar to tha t above will be used several times in th e proofs ofTheorems 1 and 2, and omitted. From (4.2) and (4.3) , we get, as A -+ 00,

(4.4)

By Taylor 's theorem ,5

aTI -1 = - t(a} -1) + ~f3;:2(a~ -I?, (4.5)

where f3r is a random variable such that 1f3r - 11 < lu} - 11, for which , it

follows from (A.15) of Sriram (1990) that for all q > 0,

{1f3rl- Q, A> o} is uniformly integrable. (4.6)

From (4.5),

II = Ba- IE{ - ~ a (u} -1) + ~af3;:! (u} _1 )2}. (4.7)

From the equation

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Page 10: A sequential procedure for estimating ratio of normal parameters

240 UNO AND ISOGAI

-2 T -1K 1 ;-Z2 1 D2aT - 1 = T + T(T _ 1) (;;: i - T(T _ 1) T,

Lemma and Wald's lemma, we have, as A ...... 00,

(4.8)

{T }1 - I 1 2 1 2

- "2 aE T KT + T(T _ 1) ~ Zi - T(T _ 1) DT

- t aE {T - 1Kr} + 0(1)

(4.9)

It follows from Lemma th at as A ...... 00 ,

(1 - -f) KT = T -! {VA + 02DT - (JIKT - ~r}T-!KT

.s: ((J2(1 - (JI( 2)(2 .

Further , we can show by Lemma that {1(1 - ~)KTI, A > o} is uniformlyintegrable, which yields

E{((J2(1 - (Jl(2)(2} + 0(1 )

- 201 + 0(1). (4.10)

From (4.9) and (4.10),

E{ -ta(iT} - I)} = -(JI + 0(1).

According to (4.8) and Lemma, we get that as A ...... 00 ,

T!(iT} - 1) .s; ( 2,

and

(4.11)

(4.12)

{IT!(iT} - 1)1" , A > O} is uniformly integrable for all s > O. (4.13)

From (4.6) , (4.12), (4.13) and Lemma (i), we have

EHa.B;:~(iT} -I?} = ~E[(a/T).B;:~{T!(iT} - 1)}2]

~E((~) + 0(1)

~ + 0(1),

which , together with (4.7) and (4.11), yields

II = (Ja -I{

- (JI + ~ + 0(1)} . (4.14)

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Page 11: A sequential procedure for estimating ratio of normal parameters

ESTIMATING RATIO OF NORMAL PARAMETERS

Hence, combining (4.1) , (4.4) and (4.14) , we have

E(BT ) - () a- l{ -(}2 - (}(}l + ~(}} + o(a- l)

~(}a -l + o(a- l) ,

from which , it follows that

241

E{Br(k)} - () = E(BT) - () + kE(T-1BT)

= ~(}a -l + ka- l E (fBT ) + o(a- l). (4.15)

As shown in Sriram (1990), BT --+ () a .s. as A --+ 00, so from Lemma (i) ,(a/T)BT --+ () a.s. as A --+ 00 . By Schwarz's inequality and Doob's maximalinequality, for Q' > 1,

EI(a/T)BTIOI

s :0 {E(frOr {EIXT I4o}t{Elu}I-2o}t

I I

~ :0 {E(f)20}' (4~~lr{EIXd40}t [E{~~~(U})-20}]~(4.16)

from which , together with Lemma (i) and (iii) , {I(a/T)BTI, A > o} is uni­formly integrable. Hence, we get, as A --+ 00,

E (fBT) = ()+ 0(1),

which , together with (4.15) , concludes the theorem. 0

Proof of Theorem 2. Let k be any fixed constant. Since a = At'Y,

RT(k) - RT

{• k : } { k : }2= 2AE ((}T - (})T(}T + AE T(}T

=2k'Y-2a2E{T-I(BT - (}?} + 2k(}'Y-2a2E{T-I(BT - ())}

+k2'Y-2 E (;: O} )

I + II + III, say. (4.17)

By virtue of the equation OT - () = ZTUr l + (}(ur l- 1), we get

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Page 12: A sequential procedure for estimating ratio of normal parameters

242 UNO AND [SOGA[

a2E{T- 1(OT - B)2}

= a2E[T-IfZ~ur2 + B2(ur l - 1)2+ 2BZTUrl(Url - In] . (4.18)

It follows from Lemma that

E {(a2/T2)T- 1D}ur2}

E«(i) + 0(1)

1 + 0(1). (4.19)

In terms of (4.5), (4.6) , (4.12), (4.13) and Lemma (i) , we can show that

a282E{T-l(url _ 1)2}•

= 82E[(a2/T2)TH(u} - 1)2 - ~f3~2(U} - 1)3 + -bf3r5(u} _ 1)4}]

= t82E«(D + 0(1)

= ~82 + 0(1) (4.20)

and

a2E[T-l{ZTUrl(url - I)}]

= E[(a2/T2)T-! DTurIT! {-Hu} - 1) + ~ f3~~ (u} - 1)2}]

= -~E«(1(2) + 0(1)

= 0(1). (4.21)

Thus, (4.18)-(4.21) yield

1= 2k-y-2(1 + ~82) + 0(1). (4.22)

Next, as (4.18), we have

a2E[T-1{ZTUr

l + 8(url - In]

a 2 E{T-1ZT(UT1 - In + a 2E(T-1ZT)

+8a2E{T-1(UT1 - In. (4.23)

By an argument similar to (4.21), we obtain

a2E{T-1ZT(Ur l - In = - ~E{(a2 /T2)T-!DTT !(u} - Ins

+~E{(a2 /T2)T- 1DTf3~2T(u} - 1)2}

- ~E«(1 (2 ) + 0(1)

0(1). (4.24)

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EST IM AT ING RATIO O F NORMAL PARAMETERS

It follows from Wald 's lemma and Lemm a that

243

E { (;: - 1) DT }

-E [(j; + 1) T- ~ {VA+ B2DT - B1KT - ~r}T- ~ DT]

-2E {(B2(1 - Bt(2)(d + 0(1)

- 2B2+ 0(1). (4.25)

As (4.20) , we get

Ba2E{T- 1(ai l- I )}

= -~Ba2E {T- l (a} - I )} + ~Ba2E{T-l f3; ~(a} - 1)2}

=-~Ba2E{T- l (a} - I)} + ~ BE((i) + 0(1)

= -~BE{a2T-l (a} - I)} + ~ B + 0(1). (4.26)

According to Lemma, (4.8) and Wald 's lemma, we have

E {a2T - 1(a} - I )}

[a2 { 1 T I}]= E T2 J(T + T _ 1 t; z;- T _ 1D}

=E[(;: - 1) J(T] +1 -E(a)+o(1 )

= - E [(j; + 1) T-~ {VA+ B2DT - B1J(T - ~T }T- ~ J(T] + 0(1)

= -2E{(B2(1 - B1(2)(2} + 0(1)

=4B1 + 0(1),

which, together with (4.26), yields

Ba2E{T-1(ai 1 - I)} = - 2BB1+ ~B + 0(1). (4.27)

Hence, (4.23) -(4.25) and (4.27) give

II 2kB-y-2(-2B2 - 2BB1+ ~ B) + 0(1)

2kB-y-2(- ~B) + 0(1). (4.28)

Fin ally, by an argument similar to (4.16), we get

III = k2-y- 2E (;:O}) = e -y- 2()2 + 0(1). (4.29)

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Page 14: A sequential procedure for estimating ratio of normal parameters

244 UNO AND ISOGAI

Thus, combining (4.17), (4.22), (4.28) and (4.29) , we obtain

RT(k ) - RT

as desired . 0

2k,-2 (1 + ~ (2) + 2kO,- 2(- ~O) + e02, - 2+ 0( 1)

, -2{02e + 2k (1 + ~ (2) } + 0( 1),

ACKNOWLEDGEMENTS

The aut hors ar e grateful to the referees for th eir comments .

BIBLIOGRAPHY

Sriram , T . N. (1990) . "Sequent ial est imat ion of ratio of norm al paramet ers ,"

J. Statist . Plann. Inference, 26 , 305-324 .

Takada , Y. (1997). "Fixed-width confidence intervals for a function of normalpar ameters," Sequent ial Anal. , 16, 107-117.

Received April, 1998, Revised August; 1998.

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