On efficient stopping times

Valeri T. Stefanov

Stochastic Processes and their Applications, 1985, vol. 19, issue 2, 305-314

Abstract: This paper is devoted to efficient sequential estimation in stochastic processes whose corresponding sufficient statistics are processes with stationary independent increments. It is proved that a stopping time is efficient if and only if it represents a time of the first attaining of a hyperplane., which cannot 'be passed', in the sense which is made precise below. The problem of determining the explicit form of the hyperplanes which cannot 'be passed' is also discussed.

Keywords: sequential; plan; Cramer--Rao; inequality; efficient; Markov; stopping; time (search for similar items in EconPapers)
Date: 1985
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