A robust asymptotically optimal sequential estimation procedure for the Poisson process

DOI10.1007/S00184-009-0293-9MaRDI QIDQ548178zbMATH OpenOpenAlexFDO

Authors Leng-Cheng Hwang

Publication date 28 June 2011

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00184-009-0293-9

zbMATH Keywords

homogeneous Poisson processregretasymptotically optimalBayes sequential estimationasymptotically pointwise optimal

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 193660 (Why is no real title available?)
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• scientific article; zbMATH DE number 1461225 (Why is no real title available?)
• ASYMPTOTICALLY POINTWISE OPTIMAL RULES IN THE POISSON PROCESS
• Asymptotic optimal sequential estimation: The Poisson case
• Bayes sequential estimation of a Poisson rate: A discrete time approach
• Bayesian sequential estimation of a Poisson process rate
• Dynkin's identity applied to Bayes sequential estimation of a Poisson process rate
• THE TRANSFORMATION OF POISSON, BINOMIAL AND NEGATIVE-BINOMIAL DATA
• The Bayes Sequential Procedure for Estimating the Arrival Rate of a Poisson Process
• The performance of a sequential procedure for the estimation of the mean

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(3)

• A robust two-stage procedure for the Poisson process under the linear exponential loss function
• Dynamics of Bayes estimates for the rate of Poisson processes with gamma priors and convex loss
• Bayes sequential estimation for a Poisson process under a LINEX loss function

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