Conjugate priors for exponential-type processes with random initial conditions

• Autorzy: Ryszard Magiera
• Języki publikacji: EN

Abstrakty

EN

The family of proper conjugate priors is characterized in a general exponential model for stochastic processes which may start from a random state and/or time.

Słowa kluczowe

EN

conjugate prior; stopping time; exponential-type process

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1993-1995
• Tom: 22
• Numer: 3
• Strony: 321-330

Daty

wydano

1994

otrzymano

1993-04-15

poprawiono

1994-05-25

Twórcy

autor

Ryszard Magiera

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

Bibliografia

• M. Arato (1978), On the statistical examination of continuous state Markov processes III, Selected Transl. in Math. Statist. and Probab. 14, 253-267.
• O. E. Barndorff-Nielsen (1980), Conditionality resolutions, Biometrika 67, 293-310.
• I. V. Basawa and B. L. S. Prakasa Rao (1980), Statistical Inference for Stochastic Processes, Academic Press, New York.
• P. Diaconis and D. Ylvisaker (1979), Conjugate priors for exponential families, Ann. Statist. 7, 269-281.
• R. Döhler (1981), Dominierbarkeit und Suffizienz in der Sequentialanalyse, Math. Operationsforsch. Statist. Ser. Statist. 12, 101-134.
• I. S. Gradshteĭn and I. M. Ryzhik (1971), Tables of Integrals, Sums, Series and Products, Nauka, Moscow (in Russian).
• R. S. Liptser and A. N. Shiryaev (1978), Statistics of Random Processes, Vol. 2, Springer, Berlin.
• R. Magiera and V. T. Stefanov (1989), Sequential estimation in exponential-type processes under random initial conditions, Sequential Anal. 8 (2), 147-167.
• R. Magiera and M. Wilczyński (1991), Conjugate priors for exponential-type processes, Statist. Probab. Lett. 12, 379-384.
• A. F. Taraskin (1974), On the asymptotic normality of vector-valued stochastic integrals and estimates of drift parameters of a multidimensional diffusion process, Theory Probab. Math. Statist. 2, 209-224.