Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis

DOI10.1081/SQA-200063280zbMath1075.62069MaRDI QIDQ5697357

Tze Leung Lai, Hock Peng Chan

Publication date: 17 October 2005

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

zbMATH Keywords

importance samplinggeneralized likelihood ratiomultivariate exponential familysequential multiple hypothesis testingsequential change-point detection

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

Related Items (9)

Degenerate-generalized likelihood ratio test for one-sided composite hypotheses ⋮ Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities ⋮ Count data regression charts for the monitoring of surveillance time series ⋮ Multistage Tests of Multiple Hypotheses ⋮ Discussion on “Sequential detection/isolation of abrupt changes” by Igor V. Nikiforov ⋮ Martingale Type Statistics Applied to Change Points Detection ⋮ Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén ⋮ Sequential Generalized Likelihood Ratios and Adaptive Treatment Allocation for Optimal Sequential Selection ⋮ Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei

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