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r-quick convergence for regenerative processes with applications to sequential analysis

A general result on r-quick convergence for time-averages of regenerative stochastic processes is derived and then applied to Markov processes. The notion of r-quick convergence was used by Lai (1981) to show asymptotic optimality of invariant sequential probability ratio tests. In the last section of this paper, Lai's approach is utilized to obtain asymptotic optimality of sequential probability ratio tests for Markov processes.
Year of publication:
1993
Authors: Irle, A.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 45.1993, 2, p. 319-329
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008872926
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