A Theorem on Obstructive Distributions
Wijsman, R. A.
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1709-1715 / Harvested from Project Euclid
Let $N$ be the stopping time of a sequential probability ratio test of composite hypothesis, based on the i.i.d. sequence $Z_1, Z_2, \cdots$ with common distribution $P$. If for every choice of stopping bounds there exist constants $c > 0, 0 < \rho < 1$ such that $P\{N > n\} < c\rho^n n = 1, 2, \cdots$, we say that $N$ is exponentially bounded under $P$; otherwise $P$ is called obstructive. A theorem is proved giving sufficient conditions for $P$ to be obstructive. By virtue of this theorem it is possible to exhibit families of obstructive distributions in several examples, including the sequential $t$-test.
Publié le : 1972-10-14
Classification: 
@article{1177692407,
     author = {Wijsman, R. A.},
     title = {A Theorem on Obstructive Distributions},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1709-1715},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692407}
}
Wijsman, R. A. A Theorem on Obstructive Distributions. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1709-1715. http://gdmltest.u-ga.fr/item/1177692407/