Short note: Stein's two-stage procedure for the intra-class model

Abstract

In his nice paper (Mykhopadhyay, 1982) as well as in his significant monograph (Mykhopadhyay & Solanky, 1994) N. Mykhopadhyay considers the following application of STEIN's two-stage procedure: Suppose that (X 1,..., Xn ) T , n = 1, 2,..., is n-dimensional normal with mean vector µ = µ l and dispersion matrix Σ n =σ 2(ρij ) with ρij = 1, ρij = ρ *, i ≠ j = 1,..., n where (µ, Σ, ρ) ∈ ℝ × ℝ+ × (-1, 0); this is called the intra-class model. For given d > 0 and α ∈ (0, 1) one wants to construct a (sequential) confidence interval I for µ having width 2d and confidence coefficient at least (1 - α). It is claimed that where N is determined, according to Stein's two-stage procedure (Stein, 1945), as where m ⩾ 2 is the first stage sample size and denotes the sample variance, fulfills this aim.