The Proportional Closeness and the Expected Sample Size of Sequential Procedures for Estimating Tail Probabilities in Exponential Distributions

摘要

The paper discusses the oroblem of exact determination of the proportional closeness probability and expected sample size of a sequential procedure for estimating tail probabilities in exponential distribution. The stopping variable is based on the asymptotic normality of the maximum likelihood estimator. For small and medium size samples an exact recursive procedure is derived. This procedure fails in large sample cases due to computer problems. For this reason large sample approximations are developed. These approximations are based on an analogous problem for Wiener processes. It provides very good numerical procedures. (Author)