Sequential tests for the drift of a Wiener process with a smooth prior, and the heat equation

DOI10.1214/aos/1176347142zbMath0686.62055OpenAlexW2061971886MaRDI QIDQ1262665

Gordon Simons, Yi-Ching Yao, Xi-Zhi Wu

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1214/aos/1176347142

zbMATH Keywords

heat equationasymptoticsWiener processBrownian motiondrift parametercontinuation regionChernoff's problem of testing the sign of the drift parametercontinuous-time optimal stopping problemsnonnormal priorssequential Bayessmooth priors

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR ⋮ Change-point problems: bibliography and review

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