Efficient sequential estimation for compound poisson processes |
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| Authors: | SR Adke ES Murphree |
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| Institution: | 1. University of Poona , Pune, 411007, India;2. Miami University , Oxford, OH, 45056, USA |
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| Abstract: | This paper discusses uniformly minimum variance, unbiased sequential estimation of a real-valued parametric function for a compound Poisson process when the compounding random variables belong to the exponential family. The characterization of Cramer-Rao efficient plans by Stefanov (1982 b) is shown to be incomplete by obtaining a new efficient plan for the compound Poisson-Bernoulli process. This new plan completes the characterization of Cramer-Rao efficient plans. The class of Bhattacharyya efficient estimators of order two is determined for all the efficient sampling schemes. |
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| Keywords: | cramer-Rao and Bhattacharyya efficient estimation efficient Markov times exponential family |
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