Optimal Sequential Estimation for Ergodic Birth-Death Processes
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1984 · Volume 46 · Issue 3
DOI: 10.1111/j.2517-6161.1984.tb01314.x
Abstract
For ergodic birth-death processes a lower bound for the variance of an unbiased estimator of a function of birth and death parameters is obtained under an arbitrary stopping rule. All efficiently estimable functions and closed efficient sampling schemes are characterized. The processes treated here include random walk with reflecting barriers, immigration-death process,M/M/1 andM/M/Squeues with limited or unlimited waiting space.
Keywords
closed sampling scheme, efficient estimation, immigration-death process, random walk, queueing process
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