A Sequential Multi-Hypothesis Test for the Mean Function of a Discrete-Time Gaussian Process

DOI10.1081/STA-200060719zbMath1065.62144MaRDI QIDQ5460667

Y. L. Tong

Publication date: 18 July 2005

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

zbMATH Keywords

Gaussian processesmultivariate normal distributionmulti-hypothesis testingmean functionsBechhofer-Kiefer-Sobel GSPRT

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02)

Cites Work

• Testing one-sided hypotheses for the mean of a Gaussian process
• The multivariate normal distribution
• A Class of Sequential Procedures for Choosing One of $K$ Hypotheses Concerning the Unknown Drift Parameter of the Weiner Process
• Lower Bounds for Average Sample Number of Sequential Multihypothesis Tests
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