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