On efficient stopping times |
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Authors: | Valeri T. Stefanov |
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Affiliation: | Institute of Mathematics, Bulgarian Academy of Sciences, 1090 — Sofia, P.O. Box 373, Bulgaria |
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Abstract: | This paper is devoted to efficient sequential estimation in stochastic processes whose corresponding sufficient statistics are processes with stationary independent increments. It is proved that a stopping time is efficient if and only if it represents a time of the first attaining of a hyperplane., which cannot ‘be passed’, in the sense which is made precise below. The problem of determining the explicit form of the hyperplanes which cannot ‘be passed’ is also discussed. |
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Keywords: | sequential plan Cramér—Rao inequality efficient Markov stopping time |
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