Conditional bias reduction can be dangerous: a key example from sequential analysis

Ben Berckmoes; Anna Ivanova; Geert Molenberghs

Conditional bias reduction can be dangerous: a key example from sequential analysis

Statistics Theory 2018-12-18 v2 Statistics Theory

Authors: Ben Berckmoes , Anna Ivanova , Geert Molenberghs

Abstract

We present a key example from sequential analysis, which illustrates that conditional bias reduction can cause infinite mean absolute error.

Cite

@article{arxiv.1812.06046,
  title  = {Conditional bias reduction can be dangerous: a key example from sequential analysis},
  author = {Ben Berckmoes and Anna Ivanova and Geert Molenberghs},
  journal= {arXiv preprint arXiv:1812.06046},
  year   = {2018}
}