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1993-1995 | 22 | 3 | 311-320
Tytuł artykułu

Bayes sequential estimation procedures for exponential-type processes

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The Bayesian sequential estimation problem for an exponential family of processes is considered. Using a weighted square error loss and observing cost involving a linear function of the process, the Bayes sequential procedures are derived.
Rocznik
Tom
22
Numer
3
Strony
311-320
Opis fizyczny
Daty
wydano
1994
otrzymano
1993-03-31
Twórcy
  • Institute of Mathematics, Technical University of Wrocław, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Bibliografia
  • O. E. Barndorff-Nielsen (1980), Conditionality resolutions, Biometrika 67, 293-310.
  • Y. S. Chow, H. Robbins and D. Siegmund (1971), Great Expectations: The Theory of Optimal Stopping, Houghton Mifflin, Boston.
  • E. B. Dynkin (1965), Markov Processes, Vol. 1, Academic Press, New York.
  • G. M. El-Sayyad and P. R. Freeman (1973), Bayesian sequential estimation of a Poisson rate, Biometrika 60, 289-296.
  • R. S. Liptser and A. N. Shiryaev (1978), Statistics of Random Processes, Vol. 2, Springer, Berlin.
  • R. Magiera (1992), Bayes sequential estimation for an exponential family of processes: A discrete time approach, Metrika 39, 1-20.
  • C. N. Morris (1982), Natural exponential families with quadratic variance functions, Ann. Statist. 10, 65-80.
  • B. Novic (1980), Bayes sequential estimation of a Poisson rate: A discrete time approach, ibid. 8, 840-844.
  • S. L. Rasmussen (1980), A Bayesian approach to a problem in sequential estimation, ibid. 8, 1229-1243.
  • C. P. Shapiro and R. L. Wardrop (1978), The Bayes sequential procedure for estimating the arrival rate of a Poisson process, J. Amer. Statist. Assoc. 73, 597-601.
  • C. P. Shapiro and R. L. Wardrop (1980a), Dynkin's identity applied to Bayes sequential estimation of a Poisson process rate, Ann. Statist. 8, 171-182.
  • C. P. Shapiro and R. L. Wardrop (1980b), Bayesian sequential estimation for one-parameter exponential families, J. Amer. Statist. Assoc. 75, 984-988.
  • A. N. Shiryaev (1973), Statistical Sequential Analysis, Amer. Math. Soc., Providence, R.I.
  • V. T. Stefanov (1986), Efficient sequential estimation in exponential-type processes, Ann. Statist. 14, 1606-1611.
  • V. T. Stefanov (1988), A sequential approach for reducing curved exponential families of stochastic processes to noncurved exponential ones, in: Contemp. Math. 80, Amer. Math. Soc., 323-330.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-zmv22z3p311bwm
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