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A note on optimum spacing of observations from a continuous time simple Markov process

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Summary

Assume thatX(τ) is a continuous time simple Markov process with a parameter θ. The problem is to choose observation points τ0 < τ1 <...<τT which provide with the maximum possible information on θ. Suppose that the observation points are equally spaced, that is, fort=1, ...,T, T, τ;t−τt−1 is constant. Then the optimum value fors is obtained.

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References

  • Rao CR (1965) Linear statistical inference and its applications. Wiley, New York

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  • Taga Y (1966) Optimum time sampling in stochastic processes (in Japanese). Proc Inst Statist Math 14:59–61

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Authors and Affiliations

  1. Faculty of Economics, University of Tokyo, Hongo, Bunkyo-ku, 113, Tokyo, Japan

    K. Takeuchi

  2. Department of Mathematics, University of Electro-Communications, Chofu, 182, Tokyo, Japan

    M. Akahira

Authors
  1. K. Takeuchi
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  2. M. Akahira
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Takeuchi, K., Akahira, M. A note on optimum spacing of observations from a continuous time simple Markov process. Metrika 33, 217–222 (1986). https://doi.org/10.1007/BF01894750

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  • DOI: https://doi.org/10.1007/BF01894750

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