首页   按字顺浏览 期刊浏览 卷期浏览 Some remarks on minimax sequential tests for stationary ornstein–uhilenbeck proc...
Some remarks on minimax sequential tests for stationary ornstein–uhilenbeck processes

 

作者: M. Roters,  

 

期刊: Sequential Analysis  (Taylor Available online 1993)
卷期: Volume 12, issue 3-4  

页码: 261-269

 

ISSN:0747-4946

 

年代: 1993

 

DOI:10.1080/07474949308836285

 

出版商: Marcel Dekker, Inc.

 

关键词: stationary Ornstein-Uhlenbeck process;minimax sequential test;ε-minimax sequential test;symmetric Wald SPRT

 

数据来源: Taylor

 

摘要:

In this paper sequential tests of one sided hypotheses H1: μ ≤ μ0and H2: μ > μ0for the velocity parameter of a stationary Ornstein-Uhlenbeck process(OUP) are discussed. When the variance parameter of the OUP is known the results obtained here complement a recent work of Roters (1991) by proving the existence of minimax sequential tests under concave and symmetric (about μ0) loss l(μ)with l(μ0) > 0 and linear costs of observation. For unkown variance parameter minimax sequential tests are derived for all loss functions discussed here and in the above mentioned paper.

 

点击下载:  PDF (288KB)



返 回