Improving the fully sequential estimation method of Anscombe-Chow-Robbins
The Annals of Statistics, 25, (5), .
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A new sequential sampling scheme is proposed in which, after an initial batch sample, sampling is continued in batches of data-dependent sizes (at most k such batches), and then one-at-a-time with a data-dependent stopping rule. This new scheme requires about the same sample size as the fully sequential Anscombe-Chow-Robbins (ACR) sampling scheme but substantially fewer sampling operations. The problem of constructing fixed-width confidence intervals for the mean of a normal population with unknown variance is used as an illustration
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