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2014
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info:eu-repo/semantics/altIdentifier/doi/10.1239/jap/1417528485
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info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_C66F4FE69CC85
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H. Albrecher et al., « Exact boundaries in sequential testing for phase-type distributions », Serveur académique Lausannois, ID : 10.1239/jap/1417528485
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Consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distribution or from an exponentially tilted alternative distribution. Exact decision boundaries for given type-I and type-II errors are derived by establishing a link with ruin theory. Information on the mean sample size of the test can be retrieved as well. The approach relies on the use of matrix-valued scale functions associated with a certain one-sided Markov additive process. By suitable transformations, the results also apply to other types of distributions, including some distributions with regularly varying tails.