Moments and Error Rates of Two-Sided Stopping Rules
Martinsek, Adam T.
Ann. Probab., Tome 10 (1982) no. 4, p. 935-941 / Harvested from Project Euclid
For $X_1, X_2,\cdots$ i.i.d., $EX_1 = \mu \neq 0, S_n = X_1 + \cdots + X_n$, the asymptotic behavior of moments and error rates of the two-sided stopping rules $\inf \{n \geq 1: |S_n| > cn^\alpha\}, c > 0, 0 \leq \alpha < 1$, is considered. Convergence of (normalized) moments of all orders as $c \rightarrow \infty$ is obtained, without the higher moment assumptions needed in the one-sided case of extended renewal theory (Gut, 1974), and in a more general setting than just the i.i.d. case. Necessary and sufficient conditions are given for convergence of series involving the error rates, in terms of the moments of $X_1$.
Publié le : 1982-11-14
Classification:  Stopping rules,  uniform integrability,  moment convergence,  delayed sums,  error rates of sequential tests,  60G40,  60G50,  62L10
@article{1176993715,
     author = {Martinsek, Adam T.},
     title = {Moments and Error Rates of Two-Sided Stopping Rules},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 935-941},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993715}
}
Martinsek, Adam T. Moments and Error Rates of Two-Sided Stopping Rules. Ann. Probab., Tome 10 (1982) no. 4, pp.  935-941. http://gdmltest.u-ga.fr/item/1176993715/