An Invariance Principle for Progressively Truncated Likelihood Ratio Statistics.

Abstract

In the context of time-sequential tests based on likelihood ratio statistics, weak convergence (in the Skorokhod as well as the sup-norm metric) of progressively truncated likelihood ratio statistics (to appropriate Wiener processes) is established through the construction of a continuous time-parameter martingale process. The case of local (contiguous) alternatives is also treated. The results are extended to the multiparameter case as well. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1978
Accession Number
ADA059404

Entities

People

  • P. K. Sen
  • Y. Tsong

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Construction
  • Convergence
  • Data Science
  • Information Science
  • Invariance
  • Statistics
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Graph Algorithms and Convex Optimization.
  • Mathematical Modeling and Probability Theory.