A new representation for a renewal-theoretic constant appearing in asymptotic approximations of large deviations

Annals of Applied Probability

Volumn 8, Issue 3, 1998, Pages 749-774

  Yakir, Benjamin ^a   Pollak, Moshe ^a  

^a HEBREW UNIVERSITY OF JERUSALEM   (Israel)

Author keywords

Overshoot; Sequential test; Time series

Indexed keywords

EID: 0032222167     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1028903449     Document Type: Article

References (8)

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5. SIEGMUND, D. (1976). Importance sampling in the Monte Carlo study of sequential tests. Ann. Statist. 4 673-684.
6. SIEGMUND, F. (1985). Sequential Analysis: Tests and Confidence Intervals. Springer, New York.
7. VILLE, J. (1939). Étude Critique de la Notion de Collectif. Gauthier-Villars, Paris.
8. YAKIR, B. (1995). A note on the run length to false alarm of a change-point detection policy. Ann. Statist. 23 272-281.