Sequential statistical procedures for processes of the exponential class with independent increments

DOI10.1080/02331888208801633MaRDI QIDQ3953033zbMATH OpenOpenAlexFDO

Authors Wolfgang Winkler, Jürgen Franz, Ingeborg Küchler

Publication date 1982

Published in Series Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888208801633

zbMATH Keywords

consistencyCramer-Rao-type inequalityefficiencyexponential classindependent incrementsLevy-Chintchin representationmoment relationsRadon-Nikodym derivatives of exponential typesequential likelihood principlesequential probability ratio testsurvey paperWald fundamental identity

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Sufficient statistics and fields (62B05) Sequential statistical analysis (62L10) Sequential estimation (62L12) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02) Markov processes: estimation; hidden Markov models (62M05)

Cited in

(4)

• On efficient stopping times
• Locally most powerful sequential tests for processes of the exponential class with stationary and independent increments
• Exponential families of stochastic processes and Lévy processes
• On exponential families of Markov processes

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