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.
Institute of Mathematics, Technical University of Wrocław, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Bibliografia
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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.
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Bibliografia
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