Locally most powerful sequential tests for stochastic processes

A. Irle

Stochastic Processes and their Applications, 1981, vol. 11, issue 3, 285-291

Abstract: For a continuous time stochastic process with distribution P[theta] depending on a one-dimensional parameter [theta] the problem of sequentially testing [theta] = 0 against [theta] > 0 is treated. We assume that the process of likelihood ratios has a certain representation which allows to obtain identities of the Wald type for stopping times. These identities are then used to derive a result on locally most powerful tests for which a problem of optimal stopping is solved.

Keywords: Sequential; tests; Wald; identities; optimal; stopping; locally; most; powerful; tests; likelihood; ratio; process (search for similar items in EconPapers)
Date: 1981
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