A dependent data extension of Wald's identity and its application to sequential test performance computation

DOI10.1109/18.32160zbMATH Open0687.62066OpenAlexW2147838738MaRDI QIDQ4206259FDOQ4206259

Authors: John S. Sadowsky 

Publication date: 1989

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.32160

Recommendations

• scientific article; zbMATH DE number 3862276
• Likelihood Ratio Identities and Their Applications to Sequential Analysis
• Instante de primer vaciado y extensiones de la identidad de Wald
• scientific article; zbMATH DE number 4078568
• On stability of sequential Wald test to a violation of the assumption about observations' independence

zbMATH Keywords

stopping timesMarkov additive processeserror probabilitiesWald's identityerror probability performance analysisexponential transformation of measurerobust error probability evaluationsample size momentsuncertain serial dependency

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (2)

• SPRT and CUSUM in hidden Markov models
• Asymptotically efficient strategies for a stochastic scheduling problem with order constraints.

This page was built for publication: A dependent data extension of Wald's identity and its application to sequential test performance computation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4206259)