A sequential hypothesis test based on a generalized Azuma inequality

Daniël Reijsbergen; Werner Scheinhardt; Pieter-Tjerk de Boer

doi:10.1016/j.spl.2014.11.018

A sequential hypothesis test based on a generalized Azuma inequality

Daniël Reijsbergen, Werner Scheinhardt, Pieter-Tjerk de Boer

Stochastic Operations Research

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Abstract

We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form $a(n+k)^b$. The proof of the bound is of independent interest.

Original language	English
Pages (from-to)	192-196
Number of pages	5
Journal	Statistics & probability letters
Volume	97
DOIs	https://doi.org/10.1016/j.spl.2014.11.018
Publication status	Published - Feb 2015
Event	10th International Workshop on Rare Event Simulation, RESIM 2014 - Amsterdam, The Netherlands Duration: 27 Aug 2014 → 29 Aug 2014

Keywords

2023 OA procedure
Sequential hypothesis test
Azuma–Hoeffding bound
Martingales
Inference

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10.1016/j.spl.2014.11.018

ArticleFinal published version, 401 KBLicence: Taverne

Cite this

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title = "A sequential hypothesis test based on a generalized Azuma inequality",

abstract = "We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form $a(n+k)^b$. The proof of the bound is of independent interest.",

keywords = "2023 OA procedure, Sequential hypothesis test, Azuma–Hoeffding bound, Martingales, Inference",

author = "Dani{\"e}l Reijsbergen and Werner Scheinhardt and {de Boer}, Pieter-Tjerk",

note = "eemcs-eprint-25454 ; 10th International Workshop on Rare Event Simulation, RESIM 2014 ; Conference date: 27-08-2014 Through 29-08-2014",

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T1 - A sequential hypothesis test based on a generalized Azuma inequality

AU - Reijsbergen, Daniël

AU - Scheinhardt, Werner

AU - de Boer, Pieter-Tjerk

N1 - eemcs-eprint-25454

PY - 2015/2

Y1 - 2015/2

N2 - We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form $a(n+k)^b$. The proof of the bound is of independent interest.

AB - We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form $a(n+k)^b$. The proof of the bound is of independent interest.

KW - 2023 OA procedure

KW - Sequential hypothesis test

KW - Azuma–Hoeffding bound

KW - Martingales

KW - Inference

U2 - 10.1016/j.spl.2014.11.018

DO - 10.1016/j.spl.2014.11.018

M3 - Article

SN - 0167-7152

VL - 97

SP - 192

EP - 196

JO - Statistics & probability letters

JF - Statistics & probability letters

T2 - 10th International Workshop on Rare Event Simulation, RESIM 2014

Y2 - 27 August 2014 through 29 August 2014

ER -

A sequential hypothesis test based on a generalized Azuma inequality

Abstract

Keywords

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