On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes

DOI10.2307/1403144MaRDI QIDQ3740849zbMATH OpenOpenAlexFDO

Authors Michael Sørensen

Publication date 1986

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403144

zbMATH Keywords

asymptotic normalityBartlett adjustmentsbirth-death processconsistencycounting processesdiffusion type processdiscrete and continuous time parameter processesLaplace transformlikelihood functionlikelihood ratio test statisticmaximum likelihood estimatorminimal sufficient statisticnoncurved exponential familystopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12) Optimal stopping in statistics (62L15) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(28)

• Conjugate priors for exponential-type processes
• Markov processes and exponential families
• Large sample inference for conditional exponential families with applications to nonlinear time series
• Exponential families of stochastic processes and Lévy processes
• Optimum statistical inference from randomly stopped random processes
• Exponential families of stochastic processes
• On exponential families of Markov processes
• Curved exponential families of stochastic processes and their envelope families
• Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field
• Local asymptotic normality of a sequential model for marked point processes and its applications
• Explicit limit results for minimal sufficient statistics and maximum likelihood estimators in some Markov processes: Exponential families approach
• Information geometry of reversible Markov chains
• Sequential maximum likelihood estimation for the squared radial Ornstein-Uhlenbeck process
• Conformal geometry of statistical manifold with application to sequential estimation
• Information geometry approach to parameter estimation in Markov chains
• Estimation of the mean of some stationary markov sequences
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• scientific article; zbMATH DE number 4100445 (Why is no real title available?)
• On Comparison of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes
• scientific article; zbMATH DE number 720754 (Why is no real title available?)
• TAIL PROBABILITY OF THE SEQUENTIAL MAXIMUM LIKELIHOOD ESTIMATOR FOR THE EXPONENTIAL CLASS
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• On stopping times and stochastic monotonicity
• On parameter estimation of diffusion-type processes: sequential estimation revisited
• Minimax sequential estimation plans for exponential-type processes
• Sequential estimation for dependent oberservations with an application to non-standard autoregressive processes

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