Abstract
Let θ be a parameter of a homogenous additive stochastic process. In order to get an unbiased and efficient estimator for a function h(v) one has often to use sequential procedures. In this paper we consider processes of the socalled exponential class. We study level crossing times, which characterize certain sequential estimations. It is shown that the family of level crossing times for an increasing sequence of levels is also a process of the exponential class. The density function of the one-dimensional probability distributions of this new process is given Examples and applications conclude the paper.
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