Performance and Robustness Analysis of Sequential Hypotheses Testing for Time Series with Trend

Alexey Kharin, Ton That Tu

Abstract


The problem of sequential testing of simple hypotheses for time series with a trend is considered. Analytic expressions and asymptotic expansions for error probabilities and expected numbers of observations are obtained. Robustness analysis is performed. Numerical results are given.

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DOI: http://dx.doi.org/10.17713/ajs.v46i3-4.668

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