期刊论文详细信息
Журнал Белорусского государственного университета: Математика, информатика
On error probabilities calculation for the truncated sequential probability ratio test
Alexey Y. Kharin1  Ton That Tu2 
[1] Belarusian State University, Niezaliežnasci Avenue, 4, 220030, Minsk, Belarus;Belarusian State University, Niezaliežnasci Avenue, 4, 220030, Minsk, Belarus;
关键词: sequential probability ratio test;    truncated test;    error probabilities;    time series with trend;   
DOI  :  
来源: DOAJ
【 摘 要 】

The truncated sequential probability ratio test of two simple hypotheses is considered for the model of independent non-identically distributed observations. The lower and upper bounds are given for the probability that the necessary number of observations to stop the test does not exceed a preassigned number. New inequalities for the error probabilities of type I and II are obtained to generalize the classic results. New approximations for the error probabilities of type I and II are constructed. The results are applied for the model of time series with trend. In addition, properties of a sequential test based on the least squares method parameter estimate at the moment of truncation are analyzed for the model of time series with trend. Computer experiment results are given.

【 授权许可】

Unknown   

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