A Lower Bound for the Bayes Risk for Testing Sequentially the Sign of the Drift Parameter of a Wiener Process.
Abstract
Let x(t) be a Wiener process with drift micron and variance 1 per unit of time. For testing H: micron less than or equal to 0 was A: micron greater than 0 with the loss function (micron) if the wrong decision is made and 0 otherwise, c cost of observation per unit time and micron has a prior distribution which is normal with mean 0 and variance delta sub 0 to the 2nd power, the authors followed an idea of Bickel and Yahav to obtain a lower bound for the Bayes risk and showed that this lower bound is strict as delta sub 0 approaches limit of infinity for all c. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1983
- Accession Number
- ADA129231
Entities
People
- Ashim Mallik
- Yi-ching Yao
Organizations
- Massachusetts Institute of Technology