Sequential Tests for the Mean of a Normal Distribution II (Large $t$)
Breakwell, John ; Chernoff, Herman
Ann. Math. Statist., Tome 35 (1964) no. 4, p. 162-173 / Harvested from Project Euclid
Asymptotic expansions are derived for the behavior of the optimal sequential test of whether the unknown drift $\mu$ of a Wiener-Levy process is positive or negative for the case where the process has been observed for a long time. The test is optimal in the sense that it is the Bayes test for the problem where we have an a priori normal distribution of $\mu$, the regret for coming to the wrong conclusion is proportional to $|\mu|$, and the cost of observation is constant per unit time. The Bayes procedure is then compared with the best sequential likelihood ratio test.
Publié le : 1964-03-14
Classification: 
@article{1177703738,
     author = {Breakwell, John and Chernoff, Herman},
     title = {Sequential Tests for the Mean of a Normal Distribution II (Large $t$)},
     journal = {Ann. Math. Statist.},
     volume = {35},
     number = {4},
     year = {1964},
     pages = { 162-173},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177703738}
}
Breakwell, John; Chernoff, Herman. Sequential Tests for the Mean of a Normal Distribution II (Large $t$). Ann. Math. Statist., Tome 35 (1964) no. 4, pp.  162-173. http://gdmltest.u-ga.fr/item/1177703738/