Properties of Estimators in Exponential Family Settings with Observation-based Stopping Rules.

Abstract

Often, sample size is not fixed by design. A key example is a sequential trial with a stopping rule, where stopping is based on what has been observed at an interim look. While such designs are used for time and cost efficiency, and hypothesis testing theory has been well developed, estimation following a sequential trial is a challenging, still controversial problem. Progress has been made in the literature, predominantly for normal outcomes and/or for a deterministic stopping rule. Here, we place these settings in a broader context of outcomes following an exponential family distribution and, with a stochastic stopping rule that includes a deterministic rule and completely random sample si..