A sequential estimation procedure for m-dimensional gaussian processes with independent inerements

DOI10.1080/02331889108802309zbMath0810.62075OpenAlexW1967036960MaRDI QIDQ4322952

Monica E. Bad Dumitrescu, Ştefan Corneliu V. Ştefănescu

Publication date: 6 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889108802309

zbMATH Keywords

maximum likelihood estimateJeffreys divergenceexponential class of processes with independent incrementsGaussian processes with independent incrementsdiscrete stopping timeunbiased sequential procedure

Mathematics Subject Classification ID

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

Cites Work

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• On efficient stopping times
• Efficient sequential estimation in exponential-type processes
• A note on sequential maximum likelihood estimates in processes with independent increments
• Über Stoppzeiten bei statistischen Probleme für homogene Prozesse mit unabhängigen Zuwächsen
• On Information and Sufficiency
• An invariant form for the prior probability in estimation problems

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