On efficient stopping times
type: Item
instance of: scholarly article
title: On efficient stopping times
zbMATH Open document ID: 0568.62075
DOI: 10.1016/0304-4149(85)90032-8
author: Valeri T. Stefanov
published in: Stochastic Processes and their Applications
publication date: 1985-01-01T00:00:00Z
review text: The author considers the problem of sequential estimation for a stochastic process where the sufficient statistics form a process of the exponential class. A sequential plan (\(\tau\),f,h) consists of a stopping time \(\tau\), a real function h of the unknown k-dimensional parameter and an unbiased estimator f of h. A sequential plan is called efficient if it yields equality in the Cramér-Rao-inequality for all parameters in some k-dimensional interval. In this paper, the author characterizes all stopping times for which there exist f and h as above such that (\(\tau\),f,h) is efficient. Some examples are given which illustrate this characterization.
Mathematics Subject Classification ID: 62L12
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 3907612
zbMATH Keywords: stationary independent increments
zbMATH Keywords: Markov stopping time
zbMATH Keywords: efficiency
zbMATH Keywords: sufficient statistics
zbMATH Keywords: process of the exponential class
zbMATH Keywords: sequential plan
zbMATH Keywords: unbiased estimator
zbMATH Keywords: Cramér-Rao-inequality
reviewed by: Albrecht Irle
MaRDI profile type: Publication
full work available at URL: 0304-4149(85)90032-8
OpenAlex ID: W2085312810
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description: scientific article; zbMATH DE number 3907612