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

DOI10.1080/03610929708831962MaRDI QIDQ4226908zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic efficiencyBrownian motionsequential probability ratio test

Mathematics Subject Classification ID

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

Recommendations

• A Bayesian sequential test for the drift of a fractional Brownian motion
• Bayesian sequential testing of the drift of a Brownian motion
• On Chernoff's hypotheses testing problem for the drift of a Brownian motion
• LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR
• Sequential testing of hypotheses about drift for Gaussian diffusions
• Maximum likelihood estimator for the drift of a Brownian flow

Cites work

• scientific article; zbMATH DE number 53270 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Asymptotic efficiencies of sequential tests
• On Large-Sample Estimation and Testing in Parametric Models
• On the bias of maximum likelihood estimation following a sequential test
• Sequential analysis. Tests and confidence intervals

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
• scientific article; zbMATH DE number 4076381 (Why is no real title available?)
• Maximum likelihood estimate following sequential probability ratio tests
• Asymptotic design of symmetric triangular tests for the drift of brownian motion

This page was built for publication: On the maximum likelihood estimate for the drift of brownian motion following a symmetric sequential probability ratio test

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226908)