On the discrimination problem for a class of stochastic processes with ordered first-passage times

DOI10.1002/ASMB.434MaRDI QIDQ2739985zbMATH OpenOpenAlexFDO

Authors Antonio Di Crescenzo, L. M. Ricciardi

Publication date 16 September 2001

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.434

zbMATH Keywords

Bayes discrimination problemfirst-passage timeslikelihood ratio order

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Inference from stochastic processes (62M99)

Review text

Let \(\{X(s), s\geq 0\}\) be a continuous-time stochastic process defined on \([0,r),\;r>0\), or on the set of integers \(\{0,1,\ldots,K\}\) and let \(X(0)\) be distributed according to one of two preassigned distributions whose choice has been made via a Bernoulli trial with parameter \(p\). Furthermore, the family of first-passage times of \(\{X(s), s\geq 0\}\) through the state \(0\) is increasing in the initial state according to the likelihood ratio order. That means that if \(X\) and \(Y\) are absolutely continuous (discrete) random variables with probability densities (distributions) \(f_{X}(t)\) and \(f_{Y}(t)\), respectively, \(X\) is said to be smaller than \(Y\) in the likelihood ratio order if \(f_{X}(t)/f_{Y}(t)\) is non-increasing in \(t\) over the union of the supports of \(X\) and \(Y\). The following Bayes discrimination problem is solved: to select the distribution of \(X(0)\) by knowing that the first-passage time through \(0\) for a sample path of \(\{X(s), s\geq 0\}\) is known to be \(t\).

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Cites work

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• Modeling failure time data by lehman alternatives
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