Efficient sequential estimation in exponential-type processes

DOI10.1214/AOS/1176350181zbMath0617.62087OpenAlexW2068881757MaRDI QIDQ1822181

Valeri T. Stefanov

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350181

zbMATH Keywords

stopping timecharacterization theoremlikelihood functionsexponential-type processesefficient sequential estimationrandom-time transformation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12) Optimal stopping in statistics (62L15) Markov processes (60J99)

Related Items (8)

Exponential families of stochastic processes and Lévy processes ⋮ Optimum statistical inference from randomly stopped random processes ⋮ A sequential estimation procedure for m-dimensional gaussian processes with independent inerements ⋮ Minimax sequential estimation plans for exponential-type processes ⋮ Conjugate priors for exponential-type processes ⋮ Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field ⋮ On run statistics for binary trials ⋮ Bayes Sequential Estimation Procedures in Exponential-Type Processes For a Polynomial Cost Function

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