On the maximum likelihood estimate for the drift of brownian motion following a symmetric sequential probability ratio test |
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| Authors: | Aiyi Liu |
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| Affiliation: | Department of Statistics , University of Rochester , Rochester, NY |
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| Abstract: | Bias and variance are evaluated explicitly for the maximum likelihood estimate (MLE) of the drift of a Brownian motion following a symmetric sequential probability ratio test (SPRT). The MLE is shown to be asymptotically efficient when the boundary of the SPRT tends to infinity. |
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| Keywords: | Asymptotic efficiency |
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