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Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior

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Męczarski M., Zieliński R.

Applicationes Mathematicae

1996-1997

tom 24

nr 4

457-463

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.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Męczarski M.

1 Zieliński R.

1 1997

Wyniki wyszukiwania

Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior