Sankhya: The Indian Journal of Statistics
1995, Volume 57, Series A, Pt. 1, pp. 88--99
CONSISTENCY OF THE MLE FOR A GENERAL SEQUENTIAL DESIGN PROBLEM
SOMNATH DATTA, University of Georgia
SUMMARY. A simple proof of consistency of a maximum likelihood estimator in a general sequential design problem is obtained by a uniform L1 law of large numbers for martingales. A number of examples satisfying the (sufficient) conditions of our theorems are provided.
AMS (1990) subject classification. 62F12, 62F10.
Key words and phrases. Sequential design, maximum likelihood, consistency.
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