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Locally best tests for Gaussian processes

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Abstract

A continuous-time stochastic process occuring in a representation of the likelihood ratio process for Gaussian processes with common covariance kernel is shown to be a Wiener process with respect to a certain family of σ-algebras. This is applied to the problem of sequentially testing one-sided hypotheses for Gaussian processes, and it is proved that certain continuous-time SPRT's are locally best sequential tests under some restrictions.

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  1. Institut für Mathematische Statistik, Universität Münster, Roxeler Str. 64, D-4400, Münster

    A. Irle

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  1. A. Irle
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Irle, A. Locally best tests for Gaussian processes. Metrika 27, 15–28 (1980). https://doi.org/10.1007/BF01893573

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  • DOI: https://doi.org/10.1007/BF01893573

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