The Annals of Mathematical Statistics

Completeness in the Sequential Case

E. L. Lehmann and Charles Stein

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Recently, in a series of papers, Girshick, Mosteller, Savage and Wolfowitz have considered the uniqueness of unbiased estimates depending only on an appropriate sufficient statistic for sequential sampling schemes of binomial variables. A complete solution was obtained under the restriction to bounded estimates. This work, which has immediate consequences with respect to the existence of unbiased estimates with uniformly minimum variance, is extended here in two directions. A general necessary condition for uniqueness is found, and this is applied to obtain a complete solution of the uniqueness problem when the random variables have a Poisson or rectangular distribution. Necessary and sufficient conditions are also found in the binomial case without the restriction to bounded estimates. This permits the statement of a somewhat stronger optimum property for the estimates, and is applicable to the estimation of unbounded functions of the unknown probability.

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Ann. Math. Statist., Volume 21, Number 3 (1950), 376-385.

First available in Project Euclid: 28 April 2007

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Lehmann, E. L.; Stein, Charles. Completeness in the Sequential Case. Ann. Math. Statist. 21 (1950), no. 3, 376--385. doi:10.1214/aoms/1177729796.

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