An invariance principle for progressively truncated likelihood ratio statistics

descriptionPublicationkeyboard_double_arrow_right Article 01 Dec 1981 Germany English Publisher:Springer Science and Business Media LLCJournal:Metrika, volume 28, pages 165-177 (issn: 0026-1335, eissn: 1435-926X,

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Authors: Sen, P.K.; Tsong, Y.;

doi: 10.1007/bf01902890

An invariance principle for progressively truncated likelihood ratio statistics

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Abstract

In the context of time-sequential tests based on likelihood ratio statistics, weak convergence (in the Skorokhod as well as the sup-norm metric) of progressively truncated likelihood ratio statistics (to appropriate Wiener processes) is established through the construction of a continuous time-parameter martingale process. The case of local (contiguous) alternative hypotheses is also treated. The results are extended to the multiparameter case as well.

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Germany

Related Organizations

University of North Carolina at Chapel Hill
United States
Northwestern University
United States
University of North Carolina System
United States
NORTHWESTERN UNIVERSITY
United States
DigiZeitschriften
Germany

Keywords

Reliability and life testing, Functional limit theorems; invariance principles, sup-norm metric, life testing, time-sequential test, Martingales with continuous parameter, invariance principle, Article, Skorokhod metric, multiparameter case, 510.mathematics, Sequential statistical analysis, progressively truncated likelihood ratio statistics

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