A general inequality for the rejection probability of the SPRT
| Autor(en): | Stadje, W. | Stichwörter: | as ymptotic behavior; inequality; random walk; Sequential probability ratio test | Erscheinungsdatum: | 1987 | Enthalten in: | Sequential Analysis | Band: | 6 | Ausgabe: | 4 | Startseite: | 289 | Seitenende: | 302 | Zusammenfassung: | Let Z1, Z2, • • • be i.i.d. random variables, Sn= Z1+…+Zn, a1, a2> 0 and N = inf {n > 1 | Sn∉ (-ai, a2)} so that N is the stopping rule of Wald's SPRT, if the Ziare log-likelihood statistics. For the case that E(Z1) =0 and E| Z1| 3<00 an upper bound of order 0((a1+a2)1) for |P(SN>a2) - [a1/(a1+a2)] | is derived. Copyright © 1987 by Marcel Dekker, Inc. |
ISSN: | 07474946 | DOI: | 10.1080/07474948708836133 | Externe URL: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84958365791&doi=10.1080%2f07474948708836133&partnerID=40&md5=a3d65b544446409e0aeccfafbcfbf098 |
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