Bounds for the Bayes risk for testing sequentially the sign of the drift parameter of a Wiener process

DOI10.1214/AOS/1176346729zbMATH Open0543.62057OpenAlexW2076018745MaRDI QIDQ796226FDOQ796226

Authors: Yi-Ching Yao, Ashim K. Mallik 

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346729

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zbMATH Keywords

Wiener processstopping timesnormal priorlower bound for the Bayes risk

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10)

Cited In (2)

• A martingale approach for detecting the drift of a Wiener process
• Title not available (Why is that?)

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