Conditionally unbiased estimation in the normal setting with unknown variances.

21 Jun 2018

To efficiently and completely correct for selection bias in adaptive two-stage trials, uniformly minimum variance conditionally unbiased estimators (UMVCUEs) have been derived for trial designs with normally distributed data. However, a common assumption is that the variances are known exactly, which is unlikely to be the case in practice. We extend the work of Cohen and Sackrowitz (Statistics & Probability Letters, 8(3):273-278, 1989), who proposed an UMVCUE for the best performing candidate in the normal setting with a common unknown variance. Our extension allows for multiple selected candidates, as well as unequal stage one and two sample sizes.