Accession Number:

AD0294125

Title:

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

Descriptive Note:

Corporate Author:

STANFORD UNIV CALIF APPLIED MATHEMATICS AND STATISTICS LABS

Personal Author(s):

Report Date:

1962-11-27

Pagination or Media Count:

1.0

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

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Distribution Statement:

APPROVED FOR PUBLIC RELEASE