A Note on First Exit Times with Applications to Sequential Analysis
Lai, Tze Leung
Ann. Statist., Tome 3 (1975) no. 1, p. 999-1005 / Harvested from Project Euclid
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In this paper, we prove certain theorems about the first exit time $N=inf{n\geqq1:S_nT_n+R_n\not\in(-a,b)}$, where $S_n$ is the partial sum of i.i.d. random variables with zero mean and finite positive variance, and $R_n,T_n$ are two sequences of random variables satisfying certain conditions. Such exit times arise in the analysis of the stopping rules of invariant sequential probability ratio tests, and our theorems are then applied to study the stopping rules of these tests.
Publié le : 1975-07-14
Classification:  6245,  Invariant sequential probability ratio tests,  first exit times,  last time,  asymptotic behavior of moments,  sequential t-test 
@article{1176343203,
     author = {Lai, Tze Leung},
     title = {A Note on First Exit Times with Applications to Sequential Analysis},
     journal = {Ann. Statist.},
     volume = {3},
     number = {1},
     year = {1975},
     pages = { 999-1005},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343203}
}

Lai, Tze Leung. A Note on First Exit Times with Applications to Sequential Analysis. Ann. Statist., Tome 3 (1975) no. 1, pp.  999-1005. http://gdmltest.u-ga.fr/item/1176343203/