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 
@article{10_4064_am_24_4_457_463,
     author = {Marek M\k{e}czarski and Ryszard Zieli\'nski},
     title = {Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior},
     journal = {Applicationes Mathematicae},
     pages = {457--463},
     publisher = {mathdoc},
     volume = {24},
     number = {4},
     year = {1997},
     doi = {10.4064/am-24-4-457-463},
     zbl = {0890.62065},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am-24-4-457-463/}
}
TY  - JOUR
AU  - Marek Męczarski
AU  - Ryszard Zieliński
TI  - Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior
JO  - Applicationes Mathematicae
PY  - 1997
SP  - 457
EP  - 463
VL  - 24
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am-24-4-457-463/
DO  - 10.4064/am-24-4-457-463
LA  - en
ID  - 10_4064_am_24_4_457_463
ER  - 
%0 Journal Article
%A Marek Męczarski
%A Ryszard Zieliński
%T Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior
%J Applicationes Mathematicae
%D 1997
%P 457-463
%V 24
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/am-24-4-457-463/
%R 10.4064/am-24-4-457-463
%G en
%F 10_4064_am_24_4_457_463
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

Cité par Sources :