Description:
<jats:p>Consider a <jats:italic>k</jats:italic>-variable normal distribution Ν (μ,Σ where mgr; = (μ<jats:sub>1</jats:sub>,μ<jats:sub>2</jats:sub>, … μ<jats:sub>k</jats:sub>)' and Σ is diagonal matrix of unknown elements >0,<jats:italic>i</jats:italic> = 1,2, … <jats:italic>k</jats:italic>. The problem of sequential estimation of = 1 α<jats:sub>i</jats:sub>μ<jats:sub>i</jats:sub> is considered. The stopping rule is shown to have some interesting limiting properties when the σ<jats:sub>i</jats:sub>'s become infinite.</jats:p>