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.
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