A sequential hypothesis test based on a generalized Azuma inequality

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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 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

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