Approximation in sequential rules for discrimination of complex hypotheses and their precision in the problem of signal detection from postdetector data (Q1204668)
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English | Approximation in sequential rules for discrimination of complex hypotheses and their precision in the problem of signal detection from postdetector data |
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Approximation in sequential rules for discrimination of complex hypotheses and their precision in the problem of signal detection from postdetector data (English)
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18 March 1993
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The problem of sequential testing of composite parametric hypotheses is investigated. It is a generalization of the results for the sequential testing of two simple hypotheses obtained by \textit{V. I. Lotov} [Theory Probab. Appl. 33, No. 2, 276-285 (1988); translation from Teor. Veroyatn. Primen. 33, No. 2, 295-304 (1988; Zbl 0689.62063)] and \textit{D. Siegmund} [J. Roy. Statist. Soc., Ser. B 37, 394-401 (1975; Zbl 0312.62063)]. The case of discrete and continuous time observations with the logarithm of probability ratio being a process with independent increments is considered. Using the expected value of jumps of the logarithm of probability ratio over barriers, exact formulae for the operating- characteristic function and the expected sample size are given. An application of the results to mixtures of Gaussian signals and Gaussian noise is shown.
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stopping time
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sequential testing of composite parametric hypothesis
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discrete and continuous time observations
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logarithm of probability ratio
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process with independent increments
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expected value of jumps
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barriers
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exact formulae
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operating-characteristic function
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expected sample size
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mixtures of Gaussian signals and Gaussian noise
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