Locally most powerful sequential tests for discrete-time Markov processes

dc.contributor.author	Novikov P.
dc.date.accessioned	2018-09-18T20:32:07Z
dc.date.available	2018-09-18T20:32:07Z
dc.date.issued	2011
dc.identifier.issn	0040-585X
dc.identifier.uri	https://dspace.kpfu.ru/xmlui/handle/net/140882
dc.description.abstract	We consider a problem of testing H0:θ = θ0 against H1:θ > θ0, where θ is a parameter of a discrete-time Markov process. We construct a locally most powerful sequential test, which maximizes the derivative of the power function at θ = θ0 in the class of level α sequential tests with the average sample size not greater than N. We construct a locally most powerful sequential test for an AR(1) autoregressive process with an unknown location parameter as an example. © 2011 Society for Industrial and Applied Mathematics.
dc.relation.ispartofseries	Theory of Probability and its Applications
dc.subject	Autoregressive process
dc.subject	Dependent observations
dc.subject	Discrete-time stochastic process
dc.subject	Locally most powerful test
dc.subject	Markov process
dc.subject	Optimal sequential test
dc.subject	Sequential analysis
dc.subject	Sequential hypothesis testing
dc.title	Locally most powerful sequential tests for discrete-time Markov processes
dc.type	Article
dc.relation.ispartofseries-issue	2
dc.relation.ispartofseries-volume	55
dc.collection	Публикации сотрудников КФУ
dc.relation.startpage	322
dc.source.id	SCOPUS0040585X-2011-55-2-SID79959310461

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Публикации сотрудников КФУ Scopus [24551]
Коллекция содержит публикации сотрудников Казанского федерального (до 2010 года Казанского государственного) университета, проиндексированные в БД Scopus, начиная с 1970г.