Optimal sequential estimation for semi-markov and markov renewal processes

Abstract

We consider the problem of obtaining efficient estimators and sampling plans for semi-Markov and Markov-renewal processes. A lower bound for the variance of an unbiased estimator of a function of the parameters is obtained under a sequential scheme and we characterize the parametric functions and sampling plans which admit minimum variance unbiased estimators.

Keywords:

• Markov-renewal processes
• semi-Markov processes
• efficient estimators
• inverse-type sampling plans