Bayes optimal stopping of a homogeneous poisson process under linex loss function and variation in the prior
Volume 24 / 1997
Applicationes Mathematicae 24 (1997), 457-463
DOI: 10.4064/am-24-4-457-463
Abstract
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.
