A sequential estimation procedure for m-dimensional gaussian processes with independent inerements

A sequential estimation procedure for m-dimensional gaussian processes with independent inerements

The purpose of the paper is to derive a sequential estimation procedure based on a certain discrete stopping time for the exponential class of processes with independent increments. The statistic which has been used for the construciton of a finite stopping time is Jeffreys divergence of two consecu...

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Veröffentlicht in:Statistics (Berlin, DDR) DDR), 1991-01, Vol.22 (2), p.269-282
Hauptverfasser: Bad Dumitrescu, Monica E., Stefanescu, Stefan Corneliu V.
Format: Artikel
Sprache:eng
Schlagworte:
GAUssian processes with independent incremtns
JEFFREYS divergence
Sequential estimation
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Zusammenfassung:The purpose of the paper is to derive a sequential estimation procedure based on a certain discrete stopping time for the exponential class of processes with independent increments. The statistic which has been used for the construciton of a finite stopping time is Jeffreys divergence of two consecutive values of the maximum likelihood estimate.
ISSN:0233-1888
1029-4910
DOI:10.1080/02331889108802309