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

  • Ton That Tu Belarusian State University, 4 Niezaliežnasci Avenue, Minsk 220030, Belarus
  • Yurii Kharin Belarusian State University, 4 Niezaliežnasci Avenue, Minsk 220030, Belarus
DOI: https://doi.org/10.33581/2520-6508-2019-1-35-45

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.

Author Biographies

Ton That Tu, Belarusian State University, 4 Niezaliežnasci Avenue, Minsk 220030, Belarus

postgraduate student at the department of probability theory and mathematical statistics, faculty of applied mathematics and computer science

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

doctor of science (physics and mathematics), docent; head of the department of probability theory and mathematical statistics, faculty of applied mathematics and computer science

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Published
2019-04-08
Keywords: multiple hypothesis testing, M-ary sequential probability ratio test, matrix sequential probability ratio test, time series with trend
How to Cite
Tu, T. T., & Kharin, Y. (2019). Sequential probability ratio test for many simple hypotheses on parameters of time series with trend. Journal of the Belarusian State University. Mathematics and Informatics, 1, 35-45. https://doi.org/10.33581/2520-6508-2019-1-35-45
Issue
No 1 (2019): Journal of the Belarusian State University. Mathematics and Informatics
Section
Probability Theory and Mathematical Statistics

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