Tests with parabolic boundary for the drift of a Wiener process

DOI10.1214/AOS/1176345878zbMath0497.62074OpenAlexW2037389608MaRDI QIDQ1170855

Brooks Ferebee

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1214/aos/1176345878

zbMATH Keywords

martingalesHermite functionsstopping timesasymptotic powerexpected sample sizeminimax testsLai optimal boundaryminimizing maximum expected sample sizetests with triangular boundariestwo-sided tests with parabolic boundaries

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

Related Items (6)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes ⋮ Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift ⋮ Analytic crossing probabilities for certain barriers by Brownian motion ⋮ Sequential testing of hypotheses about drift for Gaussian diffusions ⋮ Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift

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