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A note on confidence sequences in multiparameter exponential families

Author

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  • Csenki, Attila

Abstract

In a paper by Lai [(1976) Ann. Statist. 4] a construction of sequences of confidence intervals for one-parameter exponential families is given, where the intersection of these intervals contains the true parameter value [theta]0 with a prescribed level of confidence and the respective interval bounds tend a.s. to [theta]0. In this paper an analogous result for multiparameter exponential families is proved. More presicely, sequences of convex confidence sets are obtained which shrink to the actual parameter value.

Suggested Citation

  • Csenki, Attila, 1979. "A note on confidence sequences in multiparameter exponential families," Journal of Multivariate Analysis, Elsevier, vol. 9(2), pages 337-340, June.
    • Handle: RePEc:eee:jmvana:v:9:y:1979:i:2:p:337-340
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    Cited by:

    1. Luigi Pace & Alessandra Salvan, 2020. "Likelihood, Replicability and Robbins' Confidence Sequences," International Statistical Review, International Statistical Institute, vol. 88(3), pages 599-615, December.
    2. Wang, Hongjian & Ramdas, Aaditya, 2023. "Catoni-style confidence sequences for heavy-tailed mean estimation," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 168-202.

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