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Sequential statistical procedures for processes of the exponential class with independent increments *
Authors:
W. winkler a;
J. Franz a;
I. K
chler a
chler a
| Affiliation: | a Sektion Mathematik, TU Dresden, Dresden |
DOI:
10.1080/02331888208801633
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
In this survey paper sequential statistical procedures for the exponential class of processes with independent increments are considered. After the definition of the exponential class a characterization in terms of the LEVY-CHXNTCBXN.representation is given. Then, sequential estimation problems* and sequential testing of hypotheses with respect to the underlying parameter are studied. Finally, some possible extensions of the considered notions and methods to other classes of processes are indicated.
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*
1Paper given at the 5th International Summer School on Problems of Model Choice and Parameter Estimation in Regression Analysis, Sellin (GDR), Mara/Apr 1981.
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Keywords:
Processes with independent increments LEVY-CHINTCHIN reriresentfltion sufficient statistic;
sequential likelihood principle;
moment relations;
WALD's fundamental identity;
sequential probability ratio test (SPRT);
sequential estimation;
CBAM R-RAO-type inequality;
efficiency;
consistency
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