The likelihood ratio and its applications in sequential analysis

The likelihood ratio is treated as a generalized Radon-Nikodym derivative for measures which need not be absolutely continuous. It is shown that a wide variety of identities and inequalities in sequential analysis follow directly from simple properties of likelihood ratios.

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Year of publication:	1979
Authors:	Eisenberg, Bennett ; Ghosh, B. K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 9.1979, 1, p. 116-129
Publisher:	Elsevier
Keywords:	likelihood ratio sequential procedures hypotheses testing GSPRT fundamental identity of sequential analysis

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

Persistent link: https://www.econbiz.de/10005199742