Sequential bayesian and minimax decisions based on stochastic processes

DOI10.1080/07474948508836080MaRDI QIDQ3719667zbMATH OpenOpenAlexFDO

Authors Raimund Rhiel

Publication date 1985

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948508836080

zbMATH Keywords

Brownian motioncontinuity propertiescontinuous timegamma processGaussian processesMarkovian processesminimax estimationnon-decreasing cost functionPoisson process, the negative binomial processsemimartingalessequential decisionstochastic integrals

Mathematics Subject Classification ID

Sample path properties (60G17) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Sequential statistical analysis (62L10) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

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Cites work

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• scientific article; zbMATH DE number 3553600 (Why is no real title available?)
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation
• Transformation of local martingales under a change of law

Cited in

(14)

• Optimal sequential procedures with Bayes decision rules
• A SEQUENTIALLY PLANNED BAYESIAN MULTIPLE DECISION PROBLEM IN CONTINUOUS TIME
• scientific article; zbMATH DE number 3858153 (Why is no real title available?)
• Optimal invariant estimation of a scale parameter of a continuous time stochastic process
• scientific article; zbMATH DE number 5733165 (Why is no real title available?)
• scientific article; zbMATH DE number 3938348 (Why is no real title available?)
• Numerical Solutions for Bayes Sequential Decision Problems
• scientific article; zbMATH DE number 3978864 (Why is no real title available?)
• Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures
• A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations
• scientific article; zbMATH DE number 194059 (Why is no real title available?)
• scientific article; zbMATH DE number 1979781 (Why is no real title available?)
• Γ-minimax sequential estimation for Markov-additive processes
• scientific article; zbMATH DE number 5063760 (Why is no real title available?)

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