Optimal invariant estimation of a scale parameter of a continuous time stochastic process

DOI10.1080/02331889008802240MaRDI QIDQ3473998zbMATH OpenOpenAlexFDO

Authors Ricardo Vélez Ibarrola, Pilar Ibarrola Muñoz

Publication date 1990

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889008802240

zbMATH Keywords

continuous time stochastic processessential infimumfinite second order momentsgamma distributioninvariance structureinvariant sigma-fieldinvariant stopping timeinvariant terminal decision ruleminimization of the expected lossoptimal invariant decision rulescale parameterstationary independent increments

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Point estimation (62F10) Optimal stopping in statistics (62L15) Non-Markovian processes: estimation (62M09)

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• scientific article; zbMATH DE number 1304729

Cites work

• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• Invariance in decision processes with continuous observations
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation

Cited in

(3)

• Best invariant estimation of a direction parameter
• Optimal establishment of the mean values of a non-stationary random process with a known variance
• On invariant distribution function estimation for continuous-time stationary processes

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