Informational Dynamics of Censored Observations

DOI10.1287/MNSC.37.11.1390MaRDI QIDQ3989291zbMATH OpenOpenAlexFDO

Authors David J. Braden, Marshall Freimer

Publication date 28 June 1992

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.37.11.1390

zbMATH Keywords

censored datacharacterizationsdiscrete random variablesexponential familyfixed-dimensional sufficient statistics of purely censored observationsinformational dynamicsleft censored sufficientmixed random variablesnewsboy problempredictive distributionsright censored sufficiencystochastic dominancestochastic models

Mathematics Subject Classification ID

Sufficient statistics and fields (62B05) Characterization and structure theory of statistical distributions (62E10)

Review text

For i.i.d. \(X_ 1,\dots,X_ n\) with c.d.f. \(F_ \theta\) it is assumed that only the indicators of the events \(X_ i\leq y_ i\) are observable where \(y_ 1,\dots,y_ n\) are given reals. It is shown that \(\prod_ iF_ \theta(y_ i)\) can be factorized by a statistic \(T(y_ 1,\dots,y_ n)\) in the form \(k(T,\theta)r(y_ 1,\dots,y_ n)\) iff \(F_ \theta(x)=\exp\{c(x)+\eta(\theta)b(x)\}\) where \(T\) is then called left censored sufficient. Similar characterizations are given if some of the \(X_ i\) are left censored and the other are right censored. Furthermore, the subset of distributions is characterized for which \(T\) is sufficient and only a part of the \(X_ i\) is censored. It is shown that for distributions associated with the right censored sufficiency and for prior distributions from a suitable exponential family the posterior distribution belongs to the same family.

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