Boundary crossing problems for sample means

DOI10.1214/AOP/1176991909MaRDI QIDQ1101766zbMATH OpenOpenAlexFDO

Authors Tze Leung Lai

Publication date 1988

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176991909

zbMATH Keywords

exponential familystopping timesinvariant probability measurerenewal equationboundary crossing problemssequential decision problemseigenvalue problems of the Perron-Frobenius operatorpiecewise linear mapping

Mathematics Subject Classification ID

Large deviations (60F10) Sequential statistical design (62L05) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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(9)

• Nonasymptotic sequential tests for overlapping hypotheses applied to near-optimal arm identification in bandit models
• A BOUNDARY CROSSING PROBLEM WITH APPLICATION TO SEQUENTIAL ESTIMATION
• ASYMPTOTIC OPTIMALITY OF GENERALIZED SEQUENTIAL LIKELIHOOD RATIO TESTS IN SOME CLASSICAL SEQUENTIAL TESTING PROBLEMS*
• Boundary crossing probabilities for general exponential families
• First passage times for perturbed random walks
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Boundary crossing for general exponential families
• Generalized Sequential Probability Ratio Test for Separate Families of Hypotheses
• A Modification of schwarz's sequential likelihood ratio tests in multivariate sequential analysis

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