Sequential statistical procedures for processes of the exponential class with independent increments

Abstract

In this survey paper sequential statistical procedures for the exponential class of processes with independent increments are considered. After the definition of the exponential class a characterization in terms of the LEVY-CHXNTCBXN.representation is given. Then, sequential estimation problems* and sequential testing of hypotheses with respect to the underlying parameter are studied. Finally, some possible extensions of the considered notions and methods to other classes of processes are indicated.