國家衛生研究院 NHRI:Item 3990099045/5630
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 12145/12927 (94%)
Visitors : 855568      Online Users : 1219
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.nhri.org.tw/handle/3990099045/5630


    Title: Lerche's sequential test for the drift of a Brownian motion with a smooth prior
    Authors: Hsiao, CF;Clayton, MK
    Contributors: Division of Clinical Trial Statistics
    Abstract: Lerche (1986) studies a specific sequential problem concerned with testing the sign of the drift (say θ) of a Brownian motion. He shows that a repeated significance test boundary based on frequentist principles is also an optimal Bayesian boundary with 0-1 decision loss and sampling costs cθ2 per unit time, where c > 0. In this paper, we re-investigate Lerche's problem for a more general smooth prior. Using the approach developed by Simons et al. (1989), we derive an expansion of the optimal stopping boundary by solving a free boundary problem for the heat equation. The first term of the solution of the free boundary problem is exactly the same as for Lerche's optimal stopping boundary, while the first term of the corresponding Bayes risk is slightly different from Lerche's Bayes risk. An alternative approach to approximating the boundary can be obtained by using a tangent approximation for two-sided Brownian exit densities. Doing so yields results that are close to the results obtained by solving the free problem.
    Date: 2001
    Relation: Sequential Analysis: Design Methods and Applications. 2001;20(3):183-199.
    Link to: http://dx.doi.org/10.1081/SQA-100106055
    JIF/Ranking 2023: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=NHRI&SrcApp=NHRI_IR&KeyISSN=0747-4946&DestApp=IC2JCR
    Appears in Collections:[Chin-Fu Hsiao] Periodical Articles

    Files in This Item:

    File Description SizeFormat
    PH2011042102.pdf722KbAdobe PDF271View/Open


    All items in NHRI are protected by copyright, with all rights reserved.

    Related Items in TAIR

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback