Geodesic
Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior
Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 457-463.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

A homogeneous Poisson process (N(t),t ≥ 0) with the intensity function m(t)=θ is observed on the interval [0,T]. The problem consists in estimating θ with balancing the LINEX loss due to an error of estimation and the cost of sampling which depends linearly on T. The optimal T is given when the prior distribution of θ is not uniquely specified.
DOI : 10.4064/am-24-4-457-463
Keywords: prior distribution uncertainty, homogeneous Poisson process, LINEX loss function

Marek Męczarski 1 ; Ryszard Zieliński 1

1 
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Marek Męczarski; Ryszard Zieliński. Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior. Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 457-463. doi : 10.4064/am-24-4-457-463. http://geodesic.mathdoc.fr/articles/10.4064/am-24-4-457-463/

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