A sequential hypothesis test based on a generalized Azuma inequality

Daniël Reijsbergen, Werner Scheinhardt and Pieter-Tjerk de Boer

Statistics & Probability Letters, 2015, vol. 97, issue C, 192-196

Abstract: We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form a(n+k)b. The proof of the bound is of independent interest.

Keywords: Inference; Sequential hypothesis test; Azuma–Hoeffding bound; Martingales (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.11.018

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