Optimum statistical inference from randomly stopped random processes

DOI10.1016/0378-3758(94)90208-9MaRDI QIDQ1330195zbMATH OpenOpenAlexFDO

Authors S. R. Adke

Publication date 15 May 1995

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)90208-9

zbMATH Keywords

noncurved exponential familiesrandom stopping times

Mathematics Subject Classification ID

Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05)

Review text

The author demonstrates that it is possible to adopt optimal procedures of statistical inference, like uniformly minimum variance unbiased estimation, uniformly most powerful and uniformly most powerful unbiased test procedures, and Wald-type sequential probability ratio tests, for random processes belonging to some exponential families by employing random stopping times. The stopping times in question are those ones for which the corresponding exponential families are noncurved exponential families. Reviewer's remark: Such problems have been treated in an earlier paper of the reviewer [Contemp. Math. 80, 323-330 (1988; Zbl 0672.62084)]. The present paper substantially overlaps this paper.

Recommendations

• scientific article; zbMATH DE number 4100445
• On Comparison of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes
• Efficient sequential estimation in exponential-type processes
• Inference for random sampling processes
• On efficient stopping times

Cites work

• Conditionality resolutions
• Dominierbarkeit und suffizienz in der sequentialanalyse
• Efficient estimation of transition probabilities in a Markov chain
• Efficient sequential estimation for compound poisson processes
• Efficient sequential estimation in exponential-type processes
• Efficient sequential estimation in multiplicative counting processes
• scientific article; zbMATH DE number 993371 (Why is no real title available?)
• scientific article; zbMATH DE number 3905688 (Why is no real title available?)
• scientific article; zbMATH DE number 4064170 (Why is no real title available?)
• scientific article; zbMATH DE number 4076234 (Why is no real title available?)
• scientific article; zbMATH DE number 4096627 (Why is no real title available?)
• scientific article; zbMATH DE number 3725517 (Why is no real title available?)
• scientific article; zbMATH DE number 3298407 (Why is no real title available?)
• Nonparametric inference for a family of counting processes
• On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
• REMARKS ON OPTIMAL INFERENCE FOR MARKOV BRANCHING PROCESSES: A SEQUENTIAL APPROACH
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation
• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses
• Statistical Methods in Markov Chains

Cited in

(5)

• Statistical inference for a finite optimal stopping problem with unknown transition probabilities
• Inference for random sampling processes
• Optimal UMP test for parameter in the exponential family
• scientific article; zbMATH DE number 4062416 (Why is no real title available?)
• On Comparison of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes

This page was built for publication: Optimum statistical inference from randomly stopped random processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1330195)