scientific article; zbMATH DE number 20173

MaRDI QIDQ3979564zbMATH OpenFDO

Authors Ryszard Magiera

Publication date 26 June 1992

zbMATH Keywords

admissible sequential estimators of linear parameter functionscharacterization theoremscompound Poisson processconjugate priorsexponential type likelihood functionslinear birth-death processMarkov branching processmoments of first passage timesmultinomial processquadratic lossquadratic parameter function

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Sequential estimation (62L12) Optimal stopping in statistics (62L15) Markov processes: estimation; hidden Markov models (62M05)

Review text

The problem of sequential estimation in a class of random processes having exponential type likelihood functions is considered. Basing on modifications of the characterization theorems of \textit{P. Diaconis} and \textit{D. Ylvisaker} [Ann. Stat. 7, 269-281 (1979; Zbl 0405.62011)], the properties of conjugate priors given by \textit{C. N. Morris} [ibid. 11, 515-529 (1983; Zbl 0521.62014)] and the results concerning the moments of first passage times for such processes obtained by \textit{V. T. Stefanov} [Stochastics 19, 207-220 (1986; Zbl 0608.60046)], the form of admissible estimators, under quadratic loss function, for a quadratic parameter function is derived. The results generalize those presented by the author in Sequential Anal. 6, 207-218 (1987; Zbl 0634.62077)]. The outcomes are applied to construct admissible estimators of linear parameter functions for a compound Poisson process, the multinomial process, and a Markov branching process. For a linear birth-death process the form of admissible sequential estimators for quadratic functions of these parameters is given.

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