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A sequential hypothesis test based on a generalized Azuma inequality

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Original languageEnglish
Pages (from-to)192-196
Number of pages5
JournalStatistics and Probability Letters
Volume97
DOIs
Publication statusPublished - Feb 2015

Abstract

We present a new power-one sequential hypothesis test based on a bound for the probability that a bounded zero-mean martingale ever crosses a curve of the form a(n+k) b. The proof of the bound is of independent interest.

    Research areas

  • Inference, Sequential hypothesis test, Azuma–Hoeffding bound, Martingales

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