Asymptotic Solution of the Kiefer–Weiss Problem for Processes with Independent Increments

DOI10.1137/1132094zbMATH Open0716.62076OpenAlexW2094983343MaRDI QIDQ3203879FDOQ3203879

Authors: Vladimir Dragalin, A. Novikov 

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1132094

zbMATH Keywords

Wald testexponential familyasymptotic solutionsequential probability ratio testKiefer-Weiss problemcontinuous-time casedouble sequential probability ratio testmodified Kiefer-Weiss problemprocess with independent homogeneous increments

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited In (4)

• Minimax optimal sequential hypothesis tests for Markov processes
• Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
• Beyond boundaries: Gary Lorden’s groundbreaking contributions to sequential analysis
• Title not available (Why is that?)

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