On the maximum likelihood estimate for the drift of brownian motion following a symmetric sequential probability ratio test

DOI10.1080/03610929708831962zbMath0917.62071OpenAlexW2153273317MaRDI QIDQ4226908

Aiyi Liu

Publication date: 23 February 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708831962

zbMATH Keywords

Brownian motionasymptotic efficiencysequential probability ratio test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

Related Items (1)

Maximum likelihood estimate following sequential probability ratio tests

Cites Work

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• Sequential analysis. Tests and confidence intervals
• Asymptotic efficiencies of sequential tests
• On Large-Sample Estimation and Testing in Parametric Models
• On the bias of maximum likelihood estimation following a sequential test

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