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Locally most powerful sequential tests for stochastic processes

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  • Irle, A.

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.

Suggested Citation

  • Irle, A., 1981. "Locally most powerful sequential tests for stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 285-291, August.
    • Handle: RePEc:eee:spapps:v:11:y:1981:i:3:p:285-291
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