PROJECT II
Junyi Dong
March 16, 2015
1 I NTRODUCTION
In this project, we study the problem of constructing a fixedwidth confidence interval for
the mean of a normal distribution. We assume X 1 , X 2 , ... are random sample drawn from a
normal population with mean and variance 2 , where both and 2 are both unknown.
Since there is no fixed sample procedure, we use ChowRobbins (1965) purely sequential
estimation procedure. The sample size required in this procedure is,
N = inf{n n 0 , n >
21 [1]S n2
d2
(1.1)
Here N is determined by the width of the confidence interval d, sample variance S n2 obtained
from the sample X 1 , X 2 ,...,X n , and (1)th percentile of 2 distribution with degree of freedom
1.
In section 2 and 3, we formulate a general solution for the distribution of N and apply this solution to ChowRobbins case. In section 4, we calculate the expectation of N and the coverage
probability under different scenarios. In section 5 and 6, we further investigate the distribution
of N and the expectation. And in section 7, we verify the asymptotic properties using plots. In
section 8, we compare Steins Two Stage Procedure with ChowRobbins estimation procedure.
Finally, we conclude that ChowRobbins estimation procedure has the following important
properties:
1. E [N ] n 0 + 1 + n opt .
2. As d 0, E [N ] .
] 1.
3. As d 0, E [ nNopt
4. As d 0, P ( J N ) 1 .
2 P RELIMINARIES
Consider Z1 , Z2 ,... be a sequence of independent random variables, iid from exponential
population with mean 1. Let {a n } be a sequence, where a 1 = 0 and a 2 < a 3 < .... We define the
stopping rule as:
M = inf{m m 0 = 1,
m
X
Zi a m+1 }
(2.1)
i =1
P
Let S m = m
i =1 Zi , we find a formula for P (M = k) = P (S 1 > a 2 , S 2 > a 3 , ...S k1 > a k , S k a k+1 ),
for k = 1, 2, ...:
h m (x) =
m1
X (x a
j =0
j!
m)
h m j (a m )
(2.2)
m1
X
h m j (a m )
(2.3)
j =0
(2.4)
21 [1]S n2
d2
(3.1)
P
P
Define Ui = i (i 1+1) (i X i +1 X i )2 . Observe that i X i +1 n(i , i 2 2 ) and X i n(i , i 2 ). We
P
2
must have Ui 2 2 (1) and n1
i =1 Ui = (n 1)S n .
21 [1]S n2
d2
an =
(n 1)nd 2
21 [1]
(n 1)nd 2
21 [1]
(n 1)S n2
n1
X
Ui
i =1
(n 1)nd 2
21 [1]
In order to make use of formula(2.2)(2.4) in this special case, we need construct Zi so that
Zi is from exponential population with mean 1. Notice that 12 (Ui +Ui +1 ) 2 (2) and thus
1
(Ui +Ui +1 ) exp(1). To make sure that we do have odd number of X i , we also impose a
22
constraint that N must be an odd number. Therefore, N is redefined as:
n
X
1
(U2i 1 +U2i ) A m+1 }
2
i =1 2
n
X
= inf{n n 0 , n = 2m + 1, Vi A m+1 }
N = inf{n n 0 , n = 2m + 1,
i =1
m(m 1)d 2
21 [1]2
m(m 1)
21 [1]
d
where =
. And distribution of N is: for n n 0 , equivalently, m m 0 ,
E [N ] =
(2m + 1)P (M = m)
m=m 0
P (
Nd
1)]
X
d 2m + 1
=
(
)P (M = m)
m=m 0
JN
) = E , [2(
(3.2)
(3.3)
(3.4)
m0 n0
1 3
2 5
3 7
4 9
5 11
6 13
7 15
8 17
9 19
10 21
11 23
12 25
13 27
14 29
15 31
16 33
17 35
18 37
19 39
20 41
21 43
22 45
23 47
24 49
25 51
26 53
27 55
28 57
29 59
30 61
n opt
= 0.05
d = 0.5, = 1
E [N ] P ( J n )
12.80 0.8660
14.06 0.9061
14.71 0.9228
15.24 0.9338
15.82 0.9430
16.52 0.9513
17.40 0.9592
18.51 0.9666
19.86 0.9733
21.44 0.9791
23.20 0.9839
25.08 0.9877
27.03 0.9907
29.01 0.9929
31.00 0.9946
33.00 0.9959
35.00 0.9969
37.00 0.9976
39.00 0.9982
41.00 0.9986
43.00 0.9990
45.00 0.9992
47.00 0.9994
49.00 0.9995
51.00 0.9996
53.00 0.9997
55.00 0.9998
57.00 0.9998
59.00 0.9999
61.00 0.9999
15.36584
= 0.05
d = 0.3, = 1
E [N ] P ( J n )
38.56 0.8930
40.54 0.9230
41.07 0.9302
41.31 0.9332
41.45 0.9349
41.55 0.9361
41.64 0.9370
41.72 0.9378
41.80 0.9386
41.89 0.9394
42.00 0.9402
42.13 0.9412
42.29 0.9422
42.50 0.9435
42.76 0.9449
43.09 0.9465
43.51 0.9483
44.05 0.9503
44.71 0.9526
45.51 0.9551
46.47 0.9578
47.60 0.9606
48.88 0.9634
50.31 0.9663
51.88 0.9691
53.57 0.9718
55.35 0.9743
57.21 0.9767
59.12 0.9789
61.06 0.9809
42.68288
= 0.05
d = 0.5, = 2
E [N ] P ( J n )
57.43 0.9086
59.70 0.9337
60.17 0.9384
60.33 0.9400
60.41 0.9408
60.46 0.9412
60.50 0.9415
60.52 0.9417
60.55 0.9419
60.57 0.9420
60.59 0.9422
60.61 0.9424
60.64 0.9425
60.67 0.9427
60.70 0.9429
60.74 0.9431
60.80 0.9434
60.86 0.9437
60.94 0.9441
61.05 0.9446
61.19 0.9451
61.36 0.9457
61.59 0.9465
61.87 0.9474
62.23 0.9484
62.68 0.9496
63.22 0.9510
63.88 0.9525
64.66 0.9541
65.57 0.9559
61.46334
= 0.05
d = 0.3, = 2
E [N ] P ( J n )
167.09 0.9343
169.82 0.9466
170.07 0.9476
170.11 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.12 0.9478
170.7315
= 0.1
d = 0.5, = 1
E [N ] P ( J n )
9.18
0.8161
10.32 0.8622
11.07 0.8860
11.84 0.9044
12.80 0.9210
14.00 0.9364
15.48 0.9500
17.20 0.9616
19.07 0.9709
21.02 0.9781
23.00 0.9835
25.00 0.9876
27.00 0.9906
29.00 0.9929
31.00 0.9946
33.00 0.9959
35.00 0.9969
37.00 0.9976
39.00 0.9982
41.00 0.9986
43.00 0.9990
45.00 0.9992
47.00 0.9994
49.00 0.9995
51.00 0.9996
53.00 0.9997
55.00 0.9998
57.00 0.9998
59.00 0.9999
61.00 0.9999
10.82217
= 0.1
d = 0.3, = 1
E [N ] P ( J n )
26.15 0.8235
27.85 0.8581
28.41 0.8686
28.72 0.8739
28.95 0.8775
29.15 0.8805
29.35 0.8832
29.57 0.8860
29.83 0.8890
30.16 0.8923
30.57 0.8961
31.10 0.9003
31.77 0.9051
32.60 0.9104
33.62 0.9161
34.82 0.9221
36.20 0.9282
37.76 0.9343
39.45 0.9403
41.25 0.9459
43.13 0.9511
45.06 0.9560
47.03 0.9603
49.01 0.9643
51.00 0.9678
53.00 0.9710
55.00 0.9739
57.00 0.9765
59.00 0.9788
61.00 0.9809
30.06159
More specifically, we look at the expectation of N when = 0.05,d = 0.3, = 2 (Figure 4.2).
We found that E [N ] = n 0 when n 0 243.
E [N ]
167.0924
169.824
170.0675
170.1067
170.1157
170.1184
170.1194
170.1198
170.12
170.1201
170.1202
170.1202
170.1203
170.1203
170.1203
170.1203
170.1203
170.1203
170.1203
170.1203
n0
43
45
47
49
51
53
55
57
59
61
63
65
67
69
71
73
75
77
79
81
E [N ]
170.1203
170.1203
170.1203
170.1204
170.1204
170.1204
170.1204
170.1204
170.1204
170.1204
170.1204
170.1204
170.1204
170.1205
170.1205
170.1205
170.1206
170.1206
170.1207
170.1207
n0
83
85
87
89
91
93
95
97
99
101
103
105
107
109
111
113
115
117
119
121
E [N ]
170.1208
170.121
170.1211
170.1213
170.1216
170.1219
170.1223
170.1229
170.1236
170.1245
170.1258
170.1274
170.1295
170.1322
170.1358
170.1404
170.1464
170.1542
170.1642
170.1771
n0
123
125
127
129
131
133
135
137
139
141
143
145
147
149
151
153
155
157
159
161
E [N ]
170.1935
170.2144
170.2409
170.2743
170.3161
170.3683
170.4331
170.5128
170.6106
170.7295
170.8733
171.046
171.2519
171.4959
171.7829
172.118
172.5065
172.9536
173.4645
174.044
n0
163
165
167
169
171
173
175
177
179
181
183
185
187
189
191
193
195
197
199
201
E [N ]
174.6966
175.426
176.2357
177.128
178.1046
179.166
180.312
181.5413
182.8516
184.2399
185.7023
187.2342
188.8306
190.486
192.1949
193.9514
195.75
197.5853
199.4519
201.3453
n0
203
205
207
209
211
213
215
217
219
221
223
225
227
229
231
233
235
237
239
241
E [N ]
203.2609
205.195
207.1441
209.1053
211.076
213.0543
215.0383
217.0266
219.0183
221.0125
223.0084
225.0055
227.0036
229.0023
231.0015
233.0009
235.0006
237.0004
239.0002
241.0001
5 D ISTRIBUTION OF N
In this section, we present the pmf of N, based on formula (2.2) to (2.4). Figure 4.2 plots the
probability mass function of N for six scenarios: (1) = 0.05, = 1, d = 0.5, (2) = 0.05, =
1, d = 0.3, (3) = 0.05, = 2, d = 0.5, (4) = 0.05, = 2, d = 0.3, (5) = 0.1, = 1, d = 0.5, and
(6) = 0.1, = 1, d = 0.3 with four subcases (a) n 0 = 3, (b) n 0 = 5, (c) n 0 = 11, and (d) n 0 = 21.
1.00
0.75
0.75
0.75
0.75
0.50
0.25
0.50
0.25
0.00
10
20
30
0.50
0.25
0.00
0
density of N
1.00
density of N
1.00
density of N
density of N
1.00
0.25
0.00
0
n0+k, n0=3
10
20
30
0.50
0.00
0
n0+k, n0=5
10 20 30 40
n0+k, n0=11
20
40
n0+k, n0=21
0.25
0.25
0.20
0.20
0.20
0.20
0.15
0.10
0.05
0.15
0.10
0.05
0.00
20
40
60
0.15
0.10
0.05
0.00
0
density of N
0.25
density of N
0.25
density of N
density of N
n0+k, n0=3
20
40
60
80
0.10
0.05
0.00
0
0.15
0.00
0
n0+k, n0=5
20 40 60 80
n0+k, n0=11
25
50
75
n0+k, n0=21
0.25
0.25
0.20
0.20
0.20
0.20
0.15
0.10
0.05
0.15
0.10
0.05
0.00
25
50
75 100
n0+k, n0=3
0.15
0.10
0.05
0.00
0
density of N
0.25
density of N
0.25
density of N
density of N
25
50
75 100
n0+k, n0=5
0.10
0.05
0.00
0
0.15
0.00
0
30
60
90
n0+k, n0=11
25 50 75 100
n0+k, n0=21
0.100
0.075
0.075
0.075
0.075
0.050
0.025
0.050
0.025
0.000
density of N
0.100
density of N
0.100
density of N
density of N
0.100
0.050
0.025
0.000
0.025
0.000
0 50100150200
0.000
0 50100150200
n0+k, n0=3
0.050
0 50100150200250
n0+k, n0=5
0 50100150200250
n0+k, n0=11
n0+k, n0=21
1.00
1.00
0.75
0.75
0.75
0.75
0.50
0.25
0.50
0.25
0.00
5
10 15 20
0.50
0.25
0.00
0
density of N
1.00
density of N
1.00
density of N
density of N
0.25
0.00
0
n0+k, n0=3
10
20
30
0.50
0.00
0
n0+k, n0=5
10
20
30
n0+k, n0=11
10 20 30 40
n0+k, n0=21
0.25
0.25
0.20
0.20
0.20
0.20
0.15
0.10
0.05
0.15
0.10
0.05
0.00
20
40
n0+k, n0=3
0.15
0.10
0.05
0.00
0
density of N
0.25
density of N
0.25
density of N
density of N
20
40
n0+k, n0=5
60
0.10
0.05
0.00
0
0.15
0.00
0
20
40
60
n0+k, n0=11
20
40
60
n0+k, n0=21
6 E XPECTATION OF N
60
exp_val1
50
40
"case(1)"
a=0.05,d=0.5,s=1
30
20
20
40
60
n0
60
exp_val2
55
"a=0.05,d=0.3,s=1"
50
a=0.05,d=0.3,s=1
45
40
20
40
60
n0
exp_val3
64
62
"a=0.05,d=0.5,s=2"
a=0.05,d=0.5,s=2
60
58
20
40
n0
60
exp_val4
250
225
"case(4)"
a=0.05,d=0.3,s=2
200
175
100
200
n0
exp_val5
60
40
"case(5)"
a=0.1,d=0.5,s=1
20
20
40
60
n0
60
exp_val6
50
"case(6)"
a=0.1,d=0.3,s=1
40
30
20
40
n0
60
10
150
"senarios"
exp_val1
a=0.05,d=0.3,s=1
a=0.05,d=0.3,s=2
100
a=0.05,d=0.5,s=1
a=0.05,d=0.5,s=2
a=0.1,d=0.3,s=1
50
a=0.1,d=0.5,s=1
10
20
30
n0
Figure 6.3: Expectation of N
(2m + 1)P (M = m)
(6.1)
m=m 0
d
which is a function of n 0 , =
, and . From figure 6.1, we conclude:
1. Fix and , as n 0 increases, the expected value of N also increases. And when n 0 is
sufficient large, we have N = n 0 .
2. Fix and n 0 , as increases, E [N ] decreases. Also notice that when is larger, E [N ] gets
closer to n 0 at a smaller n 0 .
3. Fix and n 0 , as increases, E [N ] decreases and E [N ] gets closer to n 0 at a smaller n 0 .
11
7 A SYMPTOTIC P ROPERTIES
First we remark that E [N ] n 0 + 1 + n opt .
80
60
exp_val1
20
10
20
30
n0
1. as d 0, E [ nN
] 1.
opt
Proof:
2
[1]S 2
[1]S 2
= n opt . Therefore 1
N
n opt
21 [1]S 2N
d2
0
1 + nnopt
and as d
21 [1]S 2N 1
converge to
d2
a.s.
0, we have E [ nN
] 1.
opt
and
2. as d 0, P ( J N ) 1 , , , (0, 1).
Proof:
p
P X i
N X N 
p and N 2 = N 2 2 [1]) 2 2 [1] = const ant . By
=
1
1
n opt
1/d
N
P X i
p
p
d
N X N 
N X N 
p
Anscombes CLT,
=
n(0,
1)
as
d
0.
P
(
J
)
=
P
(
N
p
p
2
[1]S
N
X

N
N d
N
1
) 2(21 [1]) 1 = 1 .
) P(
Notice that
The simulation demonstrates the asymptotic properties. Figure 7.1 shows that as 0,
1 and P ( J N ) 1 . We also want to point out that ChowRobbins procedure
E [N ]
n opt
12
does not deliver the right coverage probability for all d: only when d gets closer to 0, we have
the right coverage probability.
1.8
En_1
"d to 0"
1.5
1
Expectation/nopt
1.2
0.9
0.25
0.50
0.75
1.00
lambda
Figure 7.2:
E [N ]
n opt
against
0.98
cvg11
"d to 0"
0.96
1a
coverage probability
0.94
0.92
0.25
0.50
0.75
1.00
lambda
13
Property
Steins Two
Stage Procedure
Exact Consistency
Asymptotical Consistency
X
X
ChowRobbins
Estimation Procedure
X
X
X
Remark
P ( J N ) 1
limd 0 P ( J N ) 1
]=1
limd 0 E [ nNopt
limd 0 [E (N ) n opt ] = O(1)
9 C ONCLUSION
In our study, we use simulation to explore some properties of Chow and Robbins purely
sequential estimation procedure. We demonstrate the asymptotic consistency, firstorder
asymptotic efficiency, and secondorder asymptotic efficiency. We also conclude that ChowRobbins estimation procedure does not have exact consistency.
10 R EFERENCE
1. W.D. Ray, "Sequential Confidence Intervals for the Means of a Normal Population with
Unknown Variance".
14
2. Norman Starr. "The Performance of a Sequential Procedure for the FixedWidth Interval
Estimation of the Mean".
3. Herbert Robbins, "Sequential Estimation of the Mean of a Normal Population".
15