A sequential hypothesis test based on a generalized Azuma inequality

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

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 languageUndefined
Pages (from-to)192-196
Number of pages5
JournalStatistics & probability letters
Volume97
DOIs
Publication statusPublished - Feb 2015

Keywords

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

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 = "EWI-25454, Sequential hypothesis test, Azuma–Hoeffding bound, METIS-312461, Martingales, Inference, IR-93653",
author = "D.P. Reijsbergen and Scheinhardt, {Willem R.W.} and {de Boer}, Pieter-Tjerk",
note = "eemcs-eprint-25454",
year = "2015",
month = "2",
doi = "10.1016/j.spl.2014.11.018",
language = "Undefined",
volume = "97",
pages = "192--196",
journal = "Statistics & probability letters",
issn = "0167-7152",
publisher = "Elsevier",

}

A sequential hypothesis test based on a generalized Azuma inequality. / Reijsbergen, D.P.; Scheinhardt, Willem R.W.; de Boer, Pieter-Tjerk.

In: Statistics & probability letters, Vol. 97, 02.2015, p. 192-196.

Research output: Contribution to journalArticleAcademicpeer-review

TY - JOUR

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

AU - Reijsbergen, D.P.

AU - Scheinhardt, Willem R.W.

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 - EWI-25454

KW - Sequential hypothesis test

KW - Azuma–Hoeffding bound

KW - METIS-312461

KW - Martingales

KW - Inference

KW - IR-93653

U2 - 10.1016/j.spl.2014.11.018

DO - 10.1016/j.spl.2014.11.018

M3 - Article

VL - 97

SP - 192

EP - 196

JO - Statistics & probability letters

JF - Statistics & probability letters

SN - 0167-7152

ER -