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Accession Number:
AD0294125
Title:
SEQUENTIAL TESTS FOR THE MEAN OF A NORMAL DISTRIBUTION II (LARGE T)
Corporate Author:
STANFORD UNIV CALIF APPLIED MATHEMATICS AND STATISTICS LABS
Report Date:
1962-11-27
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
Pages:
0001
Contract Number:
NONR22552
File Size:
0.00MB
