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Biometrika 1986 73(3):573-581; doi:10.1093/biomet/73.3.573
© 1986 by Biometrika Trust
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On the bias of maximum likelihood estimation following a sequential test

JOHN WHITEHEAD

Department of Applied Statistics, University of Reading Reading RG62AN, U.K.

The bias of maximum likelihood estimates calculated at the end of a sequential procedure is investigated. For the two sequential designs considered in detail, the sequential probability ratio test and the triangular test, this bias is appreciable. A method of calculating an adjusted estimate with reduced bias is described, and an approximation to the standard error of the new estimate is provided. Examples of the implementation of the method are given, and its advantages and disadvantages relative to alternative approaches are discussed.

Key Words: Confidence interval • Likelihood • Maximum likelihood estimation • Sequential analysis • Sequential probability ratio test • Triangular test


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