An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the sprt

Wolfgang Stadje

Stochastic Processes and their Applications, 1989, vol. 33, issue 2, 285-297

Abstract: For Wald's SPRT of a simple hypothesis against a simple alternative an upper bound for the differences of the error probabilities and their Wiener process approximations is derived. This upper bound only depends on the first three moments of the log-likelihood ratio and is seen to be especially useful in the case of contiguous hypotheses.

Keywords: sequential; probability; ratio; test; error; probability; Wiener; process; approximation (search for similar items in EconPapers)
Date: 1989
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