Summary
In this paper a general exponential class of random processes is introduced on the basis of a special exponential form of the likelihood function. Many widely used models for Markov processes are of this type. Martingale properties are proved for the corresponding score process. Sequential estimation procedures based on a finite stopping time τ are considered. A Cramer-Rao inequality is given in the sequential case and the efficiency of sequential estimators is discussed. As an application special results are given for Poisson branching processes.
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© 1987 Physica-Verlag Heidelberg
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Franz, J., Winkler, W. (1987). Efficient Sequential Estimation for an Exponential Class of Processes. In: Sendler, W. (eds) Contributions to Stochastics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-46893-3_11
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DOI: https://doi.org/10.1007/978-3-642-46893-3_11
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-46895-7
Online ISBN: 978-3-642-46893-3
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