Multivariate sequential analysis with linear boundaries
| dc.creator | Keener, Robert | |
| dc.date | 2006-11-22 | |
| dc.date.accessioned | 2026-07-07T08:08:25Z | |
| dc.date.available | 2026-07-07T08:08:25Z | |
| dc.description | Let $\{S_n=(X_n,W_n)\}_{n\ge0}$ be a random walk with $X_n\in \mathbb{R}$ and $W_n\in \mathbb{R}^m$. Let $τ=τ_a=\inf\{n:X_n>a\}$. The main results presented are two term asymptotic expansions for the joint distribution of $S_τ$ and $τ$ and the marginal distribution of $h(S_τ/a,τ/a)$ in the limit $a\to\infty$. These results are used to study the distribution of $t$-statistics in sequential experiments with sample size $τ$, and to remove bias from confidence intervals based on Anscombe's theorem. | |
| dc.description | Published at http://dx.doi.org/10.1214/074921706000000608 in the IMS Lecture Notes--Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0611678 | |
| dc.identifier | http://arxiv.org/abs/math/0611678 | |
| dc.identifier | IMS Lecture Notes--Monograph Series 2006, Vol. 50, 58-79 | |
| dc.identifier | doi:10.1214/074921706000000608 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/131258 | |
| dc.subject | Statistics Theory | |
| dc.title | Multivariate sequential analysis with linear boundaries | |
| dc.type | text |