On information inequalities in sequential estimation for stochastic processes

Jürgen Franz and Ryszard Magiera

Mathematical Methods of Operations Research, 1997, vol. 46, issue 1, 27 pages

Abstract: Information inequalities in a general sequential model for stochastic processes are presented by applying the approach to estimation through estimating functions. Using this approach, Bayesian versions of the information inequalities are also obtained. In particular, exponential-family processes and counting processes are considered. The results are useful to find optimum properties of parameter estimators. The assertions are of great importance for describing estimators in failure-repair models in both Bayes approach and the nuisance parameter case. Copyright Physica-Verlag 1997

Keywords: Information Inequality; Estimating Function; Parameter Estimation; Lower Bounds; Sequential Plan; Optimum Estimating Equation; Nuisance Parameter; Stopping Time; Bayesian Cramér-Rao Bound; Inverse Plan; Weibull Process; Stress Dependent Repair Process (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/BF01199461

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