- Tytuł:
- On minimax sequential procedures for exponential families of stochastic processes
- Autorzy:
- Magiera, Ryszard
- Powiązania:
- https://bibliotekanauki.pl/articles/1339040.pdf
- Data publikacji:
- 1998
- Wydawca:
- Polska Akademia Nauk. Instytut Matematyczny PAN
- Tematy:
-
Bayes sequential estimation
minimax sequential procedure
exponential family of processes
stopping time
sequential decision procedure - Opis:
- The problem of finding minimax sequential estimation procedures for stochastic processes is considered. It is assumed that in addition to the loss associated with the error of estimation a cost of observing the process is incurred. A class of minimax sequential procedures is derived explicitly for a one-parameter exponential family of stochastic processes. The minimax sequential procedures are presented in some special models, in particular, for estimating a parameter of exponential families of diffusions, for estimating the mean or drift coefficients of the class of Ornstein-Uhlenbeck processes, for estimating the drift of a geometric Brownian motion and for estimating a parameter of a family of counting processes. A class of minimax sequential rules for a compound Poisson process with multinomial jumps is also found.
- Źródło:
-
Applicationes Mathematicae; 1998-1999, 25, 1; 1-18
1233-7234 - Pojawia się w:
- Applicationes Mathematicae
- Dostawca treści:
- Biblioteka Nauki
Artykuł