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The asymptotically efficient and asymptotically consistent purely sequential procedure of Mukhopadhyay and Al-Mousawi (1986) is customarily used to construct a confidence region R for the mean vector μ of Np(μ,σ2H). This procedure does not have the exact consistency property. Hp×p is assumed known and positive definite with σ2 unknown. The maximum diameter of R and the confidence coefficient are prefixed...
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