The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion

DOI10.1070/RM2013v068n02ABEH004834zbMath1284.62136OpenAlexW2041033753MaRDI QIDQ5327408

Albert N. Shiryaev, Mikhail Zhitlukhin, Alexey Muravlev

Publication date: 7 August 2013

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2013v068n02abeh004834

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Brownian motion (60J65) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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