Minimum variance unbiased estimation of the drift of brownian motion with linear stopping boundaries

DOI10.1080/07474949808836399zbMath0897.62090OpenAlexW1997143784MaRDI QIDQ4384956

W. J. Hall, Aiyi Liu

Publication date: 13 April 1998

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949808836399

zbMATH Keywords

Brownian motioncompletenessdriftdrift estimatelinear stopping boundariestruncation adaptation

Mathematics Subject Classification ID

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

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COMPLETENESS FOR A BROWNIAN MOTION WITH POLYGONAL STOPPING BOUNDARIES ⋮ Testing Secondary Hypotheses Following Sequential Clinical Trials

Cites Work

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• Sequential analysis. Tests and confidence intervals
• Defining the curvature of a statistical problem (with applications to second order efficiency)
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• The distribution of brownian motion on linear stopping boundaries
• An unbiased estimator for the drift of a stopped Wiener process

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