You are not currently logged in.
Access JSTOR through your library or other institution:
If You Use a Screen ReaderThis content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Asymptotic Design of General Triangular Stopping Boundaries for Brownian Motion
Lecture Notes-Monograph Series
Vol. 43, Crossing Boundaries: Statistical Essays in Honor of Jack Hall (2003), pp. 29-46
Published by: Institute of Mathematical Statistics
Stable URL: http://www.jstor.org/stable/4356261
Page Count: 18
You can always find the topics here!Topics: Minimax, Brownian motion, Pests, Stopping distances, Mathematical functions, Statistics, Mathematical independent variables, Mathematical problems, Computer software
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Preview not available
We consider triangular stopping boundaries for a Brownian motion with drift, with specified error probabilities at two given values for the drift. We consider the Kiefer-Weiss problem of finding boundaries which minimize the maximum expected stopping time asymptotically as the error probabilities tend to zero. A construction is given which minimizes the objective function through fourth order optimality. This extends earlier work for the simpler symmetric (equal error probabilities) case, where fifth order minimization was achieved.
Lecture Notes-Monograph Series © 2003 Institute of Mathematical Statistics