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Teoriya Veroyatnostei i ee Primeneniya, 1973, Volume 18, Issue 3, Pages 571–582 (Mi tvp2729)  
Sequential estimation of the parameter of a Markov chain

B. Ya. Levit, R. Z. Khas'minskii

Moscow
Full-text PDF (640 kB)
Abstract: The paper deals with the problem of sequential estimation from dependent observations. For this case, an inequality of the Wolfowitz type is derived and its asymptotical behaviour is investigated. Sufficient conditions are given for Markov observations under which the bound in the Wolfowitz type inequality for sequential estimation is asymptotically equal to that in the non-sequential case. These results are illustrated by examples in which sequential estimation does not improve asymptotically the estimates.
Received: 30.12.1971
English version:
Theory of Probability and its Applications, 1974, Volume 18, Issue 3, Pages 546–558
DOI: https://doi.org/10.1137/1118068
Bibliographic databases:
Language: Russian
Citation: B. Ya. Levit, R. Z. Khas'minskii, “Sequential estimation of the parameter of a Markov chain”, Teor. Veroyatnost. i Primenen., 18:3 (1973), 571–582; Theory Probab. Appl., 18:3 (1974), 546–558
Citation in format AMSBIB
\Bibitem{LevKha73}
\by B.~Ya.~Levit, R.~Z.~Khas'minskii
\paper Sequential estimation of the parameter of a~Markov chain
\jour Teor. Veroyatnost. i Primenen.
\yr 1973
\vol 18
\issue 3
\pages 571--582
\mathnet{http://mi.mathnet.ru/tvp2729}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=334436}
\zmath{https://zbmath.org/?q=an:0296.62075}
\transl
\jour Theory Probab. Appl.
\yr 1974
\vol 18
\issue 3
\pages 546--558
\crossref{https://doi.org/10.1137/1118068}
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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