A Reduction Theorem for Certain Sequential Experiments. II

Abstract

The paper studies experiments which, for nonrandom stopping rules, resemble Koopman-Darmois families. It is shown that asymptotically one can limit oneself to sequential stopping rules which depend only on the terms entering in the Koopman-Darmois approximations, whether or not these terms are sums of independent variables. One can also obtain asymptotic results by studying similar problems on suitable processes with independent increments.