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Teoriya Veroyatnostei i ee Primeneniya, 1964, Volume 9, Issue 4, Pages 670–686
(Mi tvp417)
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This article is cited in 25 scientific papers (total in 25 papers)
On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis
A. N. Širyaev Moscow
Abstract:
The question of finding Markov sufficient statistics (see definition 3) in the problem of minimisation of the functional (2) is considered. It is supposed that the parameter $\theta$ the random moment at which the density $f_0$ changes to $f_1$ (§ 1–3) or to one of the $f_1,\dots,f_m$ (§ 5). In the case when the densities $f_0,f_1,\dots,f_m$ belong to the exponential family and the functional which is minimized is a non-additive one of a special form, we find a finite number of Markov sufficient statistics. Connections between the problem considered and other problems of sequential analysis are also discussed.
Received: 20.03.1964
Citation:
A. N. Širyaev, “On Markov Sufficient Statistics in Nonadditive Bayes Problems of Sequential Analysis”, Teor. Veroyatnost. i Primenen., 9:4 (1964), 670–686; Theory Probab. Appl., 9:4 (1964), 604–618
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https://www.mathnet.ru/eng/tvp417 https://www.mathnet.ru/eng/tvp/v9/i4/p670
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Abstract page: | 336 | Full-text PDF : | 142 | First page: | 1 |
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