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

DOI10.1109/18.32160MaRDI QIDQ4206259zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(2)

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

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