On the optimality of the sprt for processes with continuous time parameter

DOI10.1080/02331888408801750zbMath0548.62053OpenAlexW1965603950MaRDI QIDQ3339971

Albrecht Irle, Norbert Schmitz

Publication date: 1984

Published in: Series Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888408801750

zbMATH Keywords

continuous time processessequential probability ratio testlog-likelihood process with i.i.d. incrementsoptimality property of SPRTreduction principle for stopping problems

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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