On efficient stopping times

DOI10.1016/0304-4149(85)90032-8zbMath0568.62075OpenAlexW2085312810MaRDI QIDQ1060518

Valeri T. Stefanov

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90032-8

zbMATH Keywords

efficiencysufficient statisticsunbiased estimatorstationary independent incrementsCramér-Rao-inequalityMarkov stopping timeprocess of the exponential classsequential plan

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12)

Related Items (6)

Exponential families of stochastic processes and Lévy processes ⋮ On the moments of some first passage times and the associated processes ⋮ On exponential families of Markov processes ⋮ A sequential estimation procedure for m-dimensional gaussian processes with independent inerements ⋮ On the attainment of the cramer-rao bound in the sequential case ⋮ A Note on the attainment of the cramér-rao bound in the sequential case

Cites Work

• Efficient estimation of transition probabilities in a Markov chain
• On the moments and limit distributions of some first passage times
• Unbiased Sequential Estimation for Binomial Populations
• Dominierbarkeit und suffizienz in der sequentialanalyse
• Sequential statistical procedures for processes of the exponential class with independent increments
• Sequential estimation and asymptotic properties in birth-and-death processes
• On a.s. and r-mean convergence of random processes with an application to first passage times
• Moments of Randomly Stopped Sums
• On Wald's equations in continuous time
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