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The optional sampling theorem for submartingales in the sequentially planned context.

Fenoy, Mar and Ibarrola Muñoz, Pilar (2007) The optional sampling theorem for submartingales in the sequentially planned context. Statistics & Probability Letters, 77 (8). pp. 826-831. ISSN 0167-7152

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Abstract

The optional sampling theorem is considered in the sequentially planned context. We prove the optional sampling theorem for direct successors and for sampling plans with a finite number of stages. Also, the theorem is studied in the general case under a uniform integrability condition; we obtain it for submartingales with a last element, and for submartingales that verify a bounded condition based on uniform integrability.

Item Type:Article
Uncontrolled Keywords:Sampling plan; Sequentially planned; Optional sampling
Subjects:Sciences > Mathematics > Probabilities
ID Code:15054
References:

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Schmitz, N., 1993. Optimal Sequentially Planned Decision Procedures, Lectures Notes in Statistics. Springer, New York.

Washburn, R., Willsky, A., 1981. Optional sampling of submartingales indexed by partially ordered sets. Ann. Probab. 9 (6), 957–970.

Deposited On:03 May 2012 09:36
Last Modified:06 Feb 2014 10:15

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