ArticleOriginal scientific text
Title
Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior
Authors 1, 2
Affiliations
- Institute of Econometrics, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland
- Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-950 Warszawa, Poland
Abstract
A homogeneous Poisson process (N(t),t ≥ 0) with the intensity function m(t)=θ is observed on the interval [0,T]. The problem consists in estimating θ with balancing the LINEX loss due to an error of estimation and the cost of sampling which depends linearly on T. The optimal T is given when the prior distribution of θ is not uniquely specified.
Keywords
prior distribution uncertainty, homogeneous Poisson process, LINEX loss function
Bibliography
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Pages:
457-463
Main language of publication
English
Received
1997-02-21
Published
1997
Exact and natural sciences