A sequential hypothesis test based on a generalized Azuma inequality

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.

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Year of publication:	2015
Authors:	Reijsbergen, Daniël ; Scheinhardt, Werner ; de Boer, Pieter-Tjerk
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 192-196
Publisher:	Elsevier
Subject:	Inference \| Sequential hypothesis test \| Azuma–Hoeffding bound \| Martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189360