Exact boundaries in sequential testing for phase-type distributions

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Serval ID
serval:BIB_C66F4FE69CC8
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Exact boundaries in sequential testing for phase-type distributions
Journal
Journal of Applied Probability
Author(s)
Albrecher H., Asadi P., Ivanovs J.
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
51A
Pages
347-358
Language
english
Abstract
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.
Keywords
Esscher transform, Markov additive process, Scale function, Sequential probability ratio test, Two-sided exit problem
Open Access
Yes
Create date
29/11/2013 9:23
Last modification date
20/08/2019 15:41
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