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

DOI10.1137/1132094MaRDI QIDQ3203879zbMATH OpenOpenAlexFDO

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
• scientific article; zbMATH DE number 4052841 (Why is no real title available?)

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