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r-quick convergence for regenerative processes with applications to sequential analysis

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  • Irle, A.

Abstract

A general result on r-quick convergence for time-averages of regenerative stochastic processes is derived and then applied to Markov processes. The notion of r-quick convergence was used by Lai (1981) to show asymptotic optimality of invariant sequential probability ratio tests. In the last section of this paper, Lai's approach is utilized to obtain asymptotic optimality of sequential probability ratio tests for Markov processes.

Suggested Citation

  • Irle, A., 1993. "r-quick convergence for regenerative processes with applications to sequential analysis," Stochastic Processes and their Applications, Elsevier, vol. 45(2), pages 319-329, April.
    • Handle: RePEc:eee:spapps:v:45:y:1993:i:2:p:319-329
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    Cited by:

    1. Fuh, Cheng-Der & Zhang, Cun-Hui, 2000. "Poisson equation, moment inequalities and quick convergence for Markov random walks," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 53-67, May.

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