An Invariance Principle for Progressively Truncated Likelihood Ratio Statistics.
NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF BIOSTATISTICS
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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
- Statistics and Probability