Accession Number:

ADA129231

Title:

A Lower Bound for the Bayes Risk for Testing Sequentially the Sign of the Drift Parameter of a Wiener Process.

Descriptive Note:

Technical rept.,

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE STATISTICS CENTER

Personal Author(s):

Report Date:

1983-03-01

Pagination or Media Count:

7.0

Abstract:

Let xt 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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE