An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the sprt

For Wald's SPRT of a simple hypothesis against a simple alternative an upper bound for the differences of the error probabilities and their Wiener process approximations is derived. This upper bound only depends on the first three moments of the log-likelihood ratio and is seen to be especially useful in the case of contiguous hypotheses.

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Year of publication:	1989
Authors:	Stadje, Wolfgang
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 33.1989, 2, p. 285-297
Publisher:	Elsevier
Keywords:	sequential probability ratio test error probability Wiener process approximation

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

Persistent link: https://www.econbiz.de/10008874151