Duration problem: basic concept and some extensions

TL;DR

This paper reviews and extends models of the duration problem, analyzing how long certain observations, especially extremal ones, remain relevant in sequential sampling with known distributions.

Contribution

It provides a systematic presentation of known duration models and introduces new modifications, covering both no-information and full-information cases.

Findings

Analysis of duration of extremal observations in no-information case

Results on duration of extremal observations in full-information case

Extensions to existing duration models and new problem formulations

Abstract

We consider a sequence of independent random variables with the known distribution observed sequentially. The observation $n$ is assumed to be a value of one order statistics such as s:n-th, where 1 is less than s is less than n. It the instances following the $n$th observation it may remain of the s:m or it will be the value of the order statistics r:m (of m> n observations). Changing the rank of the observation, along with expanding a set of observations there is a random phenomenon that is difficult to predict. From practical reasons it is of great interest. Among others, we pose the question of the moment in which the observation appears and whose rank will not change significantly until the end of sampling of a certain size. We also attempt to answer which observation should be kept to have the "good quality observation" as long as possible. This last question was analysed by Ferguson, Hardwick and Tamaki (1991) in the abstract form which they called the problem of duration. This article gives a systematical presentation of the known duration models and a new modifications. We collect results from different papers on the duration of the extremal observation in the no-information (denoted as rank based) case and the full-information case. In the case of non-extremal observation duration models the most appealing are various settings related to the two extremal order statistics. In the no-information case it will be the maximizing duration of owning the relatively best or the second best object. The idea was formulated and the problem was solved by Szajowski and Tamaki (2006). The full-information duration problem with special requirement was presented by Kurushima and Ano (2010).