Exact boundaries in sequential testing for phase-type distributions

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ID Serval
serval:BIB_C66F4FE69CC8
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exact boundaries in sequential testing for phase-type distributions
Périodique
Journal of Applied Probability
Auteur(s)
Albrecher H., Asadi P., Ivanovs J.
Statut éditorial
Publié
Date de publication
2014
Peer-reviewed
Oui
Volume
51A
Pages
347-358
Langue
anglais
Résumé
Consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distribution or from an exponentially tilted alternative distribution. Exact decision boundaries for given type-I and type-II errors are derived by establishing a link with ruin theory. Information on the mean sample size of the test can be retrieved as well. The approach relies on the use of matrix-valued scale functions associated with a certain one-sided Markov additive process. By suitable transformations, the results also apply to other types of distributions, including some distributions with regularly varying tails.
Mots-clé
Esscher transform, Markov additive process, Scale function, Sequential probability ratio test, Two-sided exit problem
Open Access
Oui
Création de la notice
29/11/2013 9:23
Dernière modification de la notice
20/08/2019 15:41
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