SEQUENTIAL TESTS FOR THE MEAN OF A NORMAL DISTRIBUTION II (LARGE T)

Abstract

Asymptotic expansions are derived for the behavior of the optimal sequential test of whether the unknown drift mu of a Wiener Levy process is positive or negative for the case where the process was observed for a long time. The test is optimal in the sense that it is the Bayes test for the problem where we have an a priori normal distribution of mu, the regret for coming to the wrong conclusion is proportional to mu, and the cost of observation is constant per unit time. The Bayes procedure is then compared with the best sequential likelihood ratio test. (Author)

Document Details

Document Type
Technical Report
Publication Date
Nov 27, 1962
Accession Number
AD0294125

Entities

People

  • Herman Chernoff
  • John Breakwell

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Acquisition
  • Asymptotic Series
  • Data Acquisition
  • Distribution Functions
  • Functions (Mathematics)
  • Mathematical Analysis
  • Mathematics
  • Normal Distribution
  • Observation
  • Sequences

Fields of Study

  • Mathematics

Readers

  • Statistical inference.