A survey of sequential estimation in processes with independent increments
Wolfgang Winkler (1985)
Banach Center Publications
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Wolfgang Winkler (1985)
Banach Center Publications
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Stanisław Trybuła
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1. IntroductionThough the theory of minimax estimation was originated about thirty five years ago (see [7], [8], [9], [23]), there are still many unsolved problems in this area. Several papers have been devoted to statistical games in which the set of a priori distributions of the parameter was suitably restricted ([2], [10], [13]). Recently, special attention was paid to the problem of admissibility ([24], [3], [11], [12]).This paper is devoted to the problem of determining minimax...
R. Magiera ([unknown])
Metrika
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J. Franz, R. Magiera (1978)
Applicationes Mathematicae
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Ryszard Magiera (1994)
Applicationes Mathematicae
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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.
R. Magiera (1974)
Applicationes Mathematicae
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Wolfgang Winkler (1980)
Banach Center Publications
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Ryszard Magiera (1998)
Applicationes Mathematicae
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The problem of finding minimax sequential estimation procedures for stochastic processes is considered. It is assumed that in addition to the loss associated with the error of estimation a cost of observing the process is incurred. A class of minimax sequential procedures is derived explicitly for a one-parameter exponential family of stochastic processes. The minimax sequential procedures are presented in some special models, in particular, for estimating a parameter of exponential...
J. Bartoszewicz (1974)
Applicationes Mathematicae
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J. Bartoszewicz (1975)
Applicationes Mathematicae
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Govindarajulu, Z. (1995)
International Journal of Mathematics and Mathematical Sciences
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Alicja Jokiel-Rokita (2006)
Applicationes Mathematicae
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The problem of estimating the mean of a normal distribution is considered in the special case when the data arrive at random times. Certain classes of Bayes sequential estimation procedures are derived under LINEX and reflected normal loss function and with the observation cost determined by a function of the stopping time and the number of observations up to this time.
N. Mukhopadhyay (1995)
Metrika
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M. Wilczyński (1985)
Applicationes Mathematicae
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Jürgen Franz (1985)
Banach Center Publications
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