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  • Search: subject:"Hoeffding bound"
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Azuma–Hoeffding bound 1 Chernoff bound 1 Hoeffding bound 1 Hypothesis testing 1 Inference 1 Large deviations 1 Likelihood ratio 1 Locally stationary Gaussian processes 1 Martingales 1 Sequential hypothesis test 1 Stein’s lemma 1
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Article 2
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Nussbaum, Michael 1 Reijsbergen, Daniël 1 Scheinhardt, Werner 1 Tecuapetla-Gómez, Inder 1 de Boer, Pieter-Tjerk 1
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Statistical Inference for Stochastic Processes 1 Statistics & Probability Letters 1
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RePEc 2
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A sequential hypothesis test based on a generalized Azuma inequality
Reijsbergen, Daniël; Scheinhardt, Werner; de Boer, … - In: Statistics & Probability Letters 97 (2015) C, pp. 192-196
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.
Persistent link: https://www.econbiz.de/10011189360
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On large deviations in testing simple hypotheses for locally stationary Gaussian processes
Tecuapetla-Gómez, Inder; Nussbaum, Michael - In: Statistical Inference for Stochastic Processes 15 (2012) 3, pp. 225-239
efficiency of tests such as Stein’s lemma and the Chernoff bound, as well as the more general Hoeffding bound concerning best …
Persistent link: https://www.econbiz.de/10010992897
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