LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR

DOI10.1081/SQA-100106055zbMath1006.62065MaRDI QIDQ2758217

Murray K. Clayton, Chin-Fu Hsiao

Publication date: 10 March 2003

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

heat equationBrownian motionfree boundary problemsrepeated significance testBayes sequential decision procedure

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10)

Cites Work

• Unnamed Item
• Second-order approximations to the density, mean and variance of Brownian first-exit times
• Statistical decision theory and Bayesian analysis. 2nd ed
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Sequential tests for the drift of a Wiener process with a smooth prior, and the heat equation
• First exit densities of Brownian motion through one-sided moving boundaries
• An asymptotic expansion for one-sided Brownian exit densities
• The tangent approximation to one-sided Brownian exit densities

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