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The weighted sequential likelihood ratio |
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| Authors: | Edit Gombay |
| Abstract: | Strong approximation of the maximum-likelihood-ratio statistic by a diffusion process is given. This allows one to develop statistics using different weight functions. Sequential tests obtained include the ones earlier defined by Barbour (1979). The precision of the approximations is examined. |
| Keywords: | Maximum likelihood ratio stochastic process strong approximations weight functions |