A sequential hypothesis test based on a generalized Azuma inequality

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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 languageUndefined
Pages (from-to)192-196
Number of pages5
JournalStatistics & probability letters
Publication statusPublished - Feb 2015
Event10th International Workshop on Rare Event Simulation, RESIM 2014 - Amsterdam, The Netherlands
Duration: 27 Aug 201429 Aug 2014


  • EWI-25454
  • Sequential hypothesis test
  • Azuma–Hoeffding bound
  • METIS-312461
  • Martingales
  • Inference
  • IR-93653

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