The nonparametric Kiefer-Weiss problem is solved by deriving an optimal stopping policy based on a two-dimensional statistic (likelihood ratio plus expected remaining sample size) whose randomization rule maps the likelihood ratio to an integer sample size.
Lehmann and George Casella.Theory of Point Estimation
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The Nonparametric Kiefer-Weiss Problem
The nonparametric Kiefer-Weiss problem is solved by deriving an optimal stopping policy based on a two-dimensional statistic (likelihood ratio plus expected remaining sample size) whose randomization rule maps the likelihood ratio to an integer sample size.