A Nonlinear Renewal Theory with Applications to Sequential Analysis II
Lai, T. L. ; Siegmund, D.
Ann. Statist., Tome 7 (1979) no. 1, p. 60-76 / Harvested from Project Euclid
This paper continues earlier work of the authors. An analogue of Blackwell's renewal theorem is obtained for processes $Z_n = S_n + \xi_n$, where $S_n$ is the $n$th partial sum of a sequence $X_1, X_2, \cdots$ of independent identically distributed random variables with finite positive mean and $\xi_n$ is independent of $X_{n+1}, X_{n+2}, \cdots$ and has sample paths which are slowly changing in a sense made precise below. As a consequence, asymptotic expansions up to terms tending to 0 are obtained for the expected value of certain first passage times. Applications to sequential analysis are given.
Publié le : 1979-01-14
Classification:  Renewal theorem,  sequential tests,  expected sample size,  62L10,  60K05
@article{1176344555,
     author = {Lai, T. L. and Siegmund, D.},
     title = {A Nonlinear Renewal Theory with Applications to Sequential Analysis II},
     journal = {Ann. Statist.},
     volume = {7},
     number = {1},
     year = {1979},
     pages = { 60-76},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344555}
}
Lai, T. L.; Siegmund, D. A Nonlinear Renewal Theory with Applications to Sequential Analysis II. Ann. Statist., Tome 7 (1979) no. 1, pp.  60-76. http://gdmltest.u-ga.fr/item/1176344555/