On sequential maximum likelihood estimation for exponential families of stochastic processes

On considere en particulier le cas d'observations stoppees lorsqu'une combinaison lineaire des statistiques canoniques atteint un niveau donne. On derive la transformee de Laplace de la statistique exhaustive et on demontre quelques resultats sur le comportement asymptotique de l'estimateur du maximum de vraisemblance

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