Prakasa Rao, B. L. S. (2005) Sequential testing for simple hypotheses for processes driven by fractional Brownian motion Sequential Analysis, 24 (2). pp. 189-203. ISSN 0747-4946
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Official URL: http://www.tandfonline.com/doi/abs/10.1081/SQA-200...
Related URL: http://dx.doi.org/10.1081/SQA-200056198
Abstract
We prove the existence of an optimal sequential-test procedure for a simple null hypothesis that the observed process is a noise modeled by a fractional Brownian motion against the simple alternate hypothesis that the observed process is the sum of an unobserved signal and the noise.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Fractional Brownian Motion; Optimal Test; Stochastic Differential Equations; Sequential Test |
| ID Code: | 73751 |
| Deposited On: | 07 Dec 2011 05:35 |
| Last Modified: | 07 Dec 2011 05:35 |
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