Abstract
The probability that a stochastic process with negative drift exceed a value a often has a renewal-theoretic approximation as
Here we suggest a new way of representing the constant. Our approach enables simulation of the constant with prescribed accuracy. We exemplify our approach by working out the details of a sequential power one hypothesis testing problem of whether a sequence of observations is iid standard normal against the alternative that the sequence is AR(1). Monte Carlo results are reported.
Citation
Moshe Pollak. Benjamin Yakir. "A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations." Ann. Appl. Probab. 8 (3) 749 - 774, August 1998. https://doi.org/10.1214/aoap/1028903449
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