An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the SPRT
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Publication:1822872
DOI10.1016/0304-4149(89)90043-4zbMath0679.62060OpenAlexW2059457224MaRDI QIDQ1822872
Publication date: 1989
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(89)90043-4
momentsupper boundlog-likelihood ratioerror probabilitiessequential probability ratio testsimple hypothesissimple alternativecontiguous hypothesesWald's SPRTWiener process approximations
Cites Work
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- Weak convergence of processes related to likelihood ratios
- Some asymptotic aspects of sequential analysis
- Asymptotic Expansions in a Sequential Likelihood Ratio Test
- Corrected diffusion approximations in certain random walk problems
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- Second-order corrections for Brownian motion approximations to first-passage probabilities