Extended optimality of sequential probability ratio tests

DOI10.1214/AOS/1176346416zbMATH Open0551.62056OpenAlexW2001445587MaRDI QIDQ800674FDOQ800674

Authors: Albrecht Irle 

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/1176346416

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zbMATH Keywords

Brownian motionDoob-Meyer decompositionboundary conditionerror probabilitiessequential probability ratio testweak admissibilityWald-Wolfowitz optimality

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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• Optimality of the CUSUM procedure in continuous time.
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• Discussion on “Life and Work of Bhaskar Kumar Ghosh” by Pranab Kumar Sen
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• A general inequality for the rejection probability of the sprt
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