A survey of sequential estimation in processes with independent increments
Wolfgang Winkler (1985)
Banach Center Publications
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Displaying similar documents to “A modification of Sudakov's lemma and efficient sequential plans for the Ornstein-Uhlenbeck process”
A survey of sequential estimation in processes with independent increments
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CONTENTS1. Introduction...................... 52. Definitions........................... 63. Stochastic processes.................. 74. Processes with independent increments...... 85. Sequential estimation for the Poisson process..... 126. Other processes with independent increments.......... 337. Efficiency for a given value of the parameter......... 398. Final remarks........................................... 43References................................................ 45 ...
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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.