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.
|Number of pages||5|
|Journal||Statistics & probability letters|
|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
- Sequential hypothesis test
- Azuma–Hoeffding bound