Efficient sequential estimation in exponential-type processes (Q1822181): Difference between revisions
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Latest revision as of 01:52, 20 March 2024
scientific article
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English | Efficient sequential estimation in exponential-type processes |
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Efficient sequential estimation in exponential-type processes (English)
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1986
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A class of random processes whose likelihood functions are of exponential type is considered. A necessary and sufficient condition for a stopping time to be efficient (in the Cramér-Rao sense) is proved. This result is obtained after proving a characterization theorem, which asserts that after a suitable random-time transformation such processes become processes with stationary independent increments, by applying the solution of the problem of efficient sequential estimation in the case of processes with stationary independent increments.
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exponential-type processes
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likelihood functions
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stopping time
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characterization theorem
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random-time transformation
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efficient sequential estimation
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