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LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR

✍ Scribed by Hsiao, Chin-Fu; Clayton, Murray K.

Book ID
127283502
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
223 KB
Volume
20
Category
Article
ISSN
0747-4946

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Brownian motions are useful in modeling many stochastic phenomena. We address the problem of default testing for the sign of the drift, if any, in the mean of the process using the Bayesian approach. Conventional Bayes factors for hypotheses testing, however, cannot typically accommodate the use of