On the maximum likelihood estimate for the drift of brownian motion following a symmetric sequential probability ratio test

DOI10.1080/03610929708831962zbMATH Open0917.62071OpenAlexW2153273317MaRDI QIDQ4226908FDOQ4226908

Authors: Aiyi Liu 

Publication date: 23 February 1999

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708831962

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zbMATH Keywords

asymptotic efficiencyBrownian motionsequential probability ratio test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

Cites Work

• Sequential analysis. Tests and confidence intervals
• On Large-Sample Estimation and Testing in Parametric Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the bias of maximum likelihood estimation following a sequential test
• Asymptotic efficiencies of sequential tests

Cited In (6)

• A simple low-bias estimate following a sequential test with linear boundaries
• The distribution of the argmax of two-sided brownian motion with quadratic drift
• The effect of truncation on a sequential test for the drift of brownian motion
• Title not available (Why is that?)
• Maximum likelihood estimate following sequential probability ratio tests
• Asymptotic design of symmetric triangular tests for the drift of brownian motion

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