Locally most powerful sequential tests for stochastic processes

DOI10.1016/0304-4149(81)90029-6zbMath0477.62069OpenAlexW1976340670MaRDI QIDQ1161022

Albrecht Irle

Publication date: 1981

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(81)90029-6

zbMATH Keywords

likelihood ratio processWald identities

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Optimal stopping in statistics (62L15)

Related Items (5)

Solving Problems of Optimal Stopping with Linear Costs of Observations ⋮ On optimal stopping with concave costs of observation ⋮ An effective method for the explicit solution of sequential problems on the real line ⋮ Locally most powerful sequential tests for processes of the exponential class with stationary and independent increments ⋮ Locally Most Powerful Sequentially Planned Tests in Continuous Time

Cites Work

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• Calcul stochastique et problèmes de martingales
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• Locally most powerful sequential tests
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• On Square Integrable Martingales
• The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related Measures
• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses

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