It is shown, under conditions which include invariant sequential probability ratio tests, that the stopping time is always expontially bounded when the null or alternative hypothesis holds, except in a trivial instance.
Publié le : 1977-05-14
Classification:
Invariance,
sequential probability ratio test,
exponential boundedness,
likelihood ratio,
stopping time,
62L10,
60G17,
60G40
@article{1176343858,
author = {Rootzen, Holger and Simons, Gordon},
title = {On the Exponential Boundedness of Stopping Times of Invariant SPRT's},
journal = {Ann. Statist.},
volume = {5},
number = {1},
year = {1977},
pages = { 571-575},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343858}
}
Rootzen, Holger; Simons, Gordon. On the Exponential Boundedness of Stopping Times of Invariant SPRT's. Ann. Statist., Tome 5 (1977) no. 1, pp. 571-575. http://gdmltest.u-ga.fr/item/1176343858/