Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis

DOI10.1081/SQA-200063280zbMATH Open1075.62069MaRDI QIDQ5697357FDOQ5697357

Tze Leung Lai, Hock Peng Chan

Publication date: 17 October 2005

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

importance samplinggeneralized likelihood ratiomultivariate exponential familysequential multiple hypothesis testingsequential change-point detection

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

Cites Work

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Cited In (11)

• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Sequential importance sampling of binary sequences
• Count data regression charts for the monitoring of surveillance time series
• Martingale Type Statistics Applied to Change Points Detection
• Degenerate-generalized likelihood ratio test for one-sided composite hypotheses
• Negative examples for sequential importance sampling of binary contingency tables
• Multistage Tests of Multiple Hypotheses
• Sequential Generalized Likelihood Ratios and Adaptive Treatment Allocation for Optimal Sequential Selection
• Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
• Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov

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