Journal of Applied Probability
- J. Appl. Probab.
- Volume 51A (2014), 347-358.
Exact boundaries in sequential testing for phase-type distributions
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.
J. Appl. Probab., Volume 51A (2014), 347-358.
First available in Project Euclid: 2 December 2014
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs. Exact boundaries in sequential testing for phase-type distributions. J. Appl. Probab. 51A (2014), 347--358. doi:10.1239/jap/1417528485. https://projecteuclid.org/euclid.jap/1417528485