Optimality Of sequential prorability ratio tests for a class of continuous parameter stochastic processes |
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Authors: | BR Bhat A Indira Devi |
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Affiliation: | 1. Karnatak University , Dharwad and University of Georgia , Athens;2. Karnatak University , Dharwad, India |
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Abstract: | For a wide class of stochastic processes including processes belonging to the curved exponential families, it is proved that Wald SPRT is optimal in the sense of minimizing the expectations of increasing processes associated with the stochastic process. The increasing processes are given by the Doob-Meyer decompositions of the log-probability ratio under the two hypotheses. |
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Keywords: | Wald SPRT continuous parameter sp optimal property Doob-Meyer decomposition |
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