In the context of discrete data, a sequential fixed width confidence interval for an unknown parameter is constructed using a minimum Hellinger distance estimator as the center of the interval. It is shown that the sequential procedure is asymptotically consistent and efficient. These results, in addition to being exactly same as those obtained by Yu (1989) using a maximum likelihood estimator, offer an alternative which has several in-built robustness properties.

TR Number: 
2002-16
Sangyeol Lee and T.N. Sriram
Key Words: 
Fixed-width confidence interval; minimum Hellinger distance estimator, maximum likelihood estimator, Fisher information, stopping rule, asymptotic consistency, asymptotic efficiency

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