Efficient sequential estimation in multiplicative counting processes |
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Authors: | D S Bai J S Jang |
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Institution: | 1. Korea advanced institute of science and technolgy , seoul, Korea;2. Ajou University , Suwon, Korea |
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Abstract: | The problem of efficient sequential estimation is counting processes with multiplicative intensity processes is considered. A sequential version of Cramér-Rao type information inequality is obtained and all the 'efficient' triples (S, f, g) are characterized: the variance of an unbiased estimator f for g attains the lower bound under a sampling plan S. Applications to Poisson processes, Markov processes, birth and death processes and Markov branching processes with immigration are also considered. |
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Keywords: | counting process intensity process information inequality efficient estimation stopping time closed sampling plan efficient triple |
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