This article is cited in 4 papers

Theory of probability and Mathematical statistics

Sequential probability ratio test for many simple hypotheses on parameters of time series with trend

T. T. Tu, A. J. Kharin

Belarusian State University, 4 Niezaliežnasci Avenue, Minsk 220030, Belarus

Abstract: The problem of sequential test for many simple hypotheses on parameters of time series with trend is considered. Two approaches, including M-ary sequential probability ratio test and matrix sequential probability ratio test are used for constructing the sequential test. The sufficient conditions of finite terminations of the test and the existence of finite moments of their stopping times are given. The upper bounds for the average numbers of observations are obtained. With the thresholds chosen suitably, these tests can belong to some specified classes of statistical tests. Numerical examples are presented.

Keywords: multiple hypothesis testing; M-ary sequential probability ratio test; matrix sequential probability ratio test; time series with trend.

UDC: 519.2

Language: English

DOI: 10.33581/2520-6508-2019-1-35-45