An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the SPRT

DOI10.1016/0304-4149(89)90043-4zbMath0679.62060OpenAlexW2059457224MaRDI QIDQ1822872

Wolfgang Stadje

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90043-4

zbMATH Keywords

momentsupper boundlog-likelihood ratioerror probabilitiessequential probability ratio testsimple hypothesissimple alternativecontiguous hypothesesWald's SPRTWiener process approximations

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Weak convergence of processes related to likelihood ratios
• Some asymptotic aspects of sequential analysis
• Asymptotic Expansions in a Sequential Likelihood Ratio Test
• Corrected diffusion approximations in certain random walk problems
• Brownian approximations to first passage probabilities
• Second-order corrections for Brownian motion approximations to first-passage probabilities

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