MOMENT-BASED MINIMAX STOPPING FUNCTIONS FOR SEQUENCES OF RANDOM-VARIABLES

被引：3
|
作者：
BOSHUIZEN, FA
HILL, TP
机构：
[1] GEORGIA INST TECHNOL,SCH MATH,ATLANTA,GA 30332
[2] ERASMUS UNIV,INST ECONOMETR,3000 DR ROTTERDAM,NETHERLANDS
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1992年 / 43卷 / 02期
关键词：
OPTIMAL STOPPING; MINIMAX STOPPING TIME; MINIMAX DISTRIBUTION; ORDER SELECTION;
D O I：
10.1016/0304-4149(92)90064-W
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Minimax-optimal stopping times and minimax (worst-case) distributions are found for the problem of stopping a sequence of uniformly bounded independent random variables, when only the means and/or variances are known, in contrast to the classical setting where the complete joint distributions of the random variables are known. Results are obtained for both the independent and i.i.d. cases, with applications given to the problem of order section in optimal stopping.
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页码：303 / 316
页数：14
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