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Sequential Analysis
Design Methods and Applications
Volume 19, 2000 - Issue 1-2
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Original Articles

Maximum likelihood estimate following sequential probability ratio tests

Sequential probability ratio tests

Aiyi Liu
Pages 63-75 | Published online: 29 Mar 2007
 
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Abstract

We consider Wald's (1947) sequential probability ratio tests for a Brownian motion X(t) with drift ⊘. Expressions are derived for the distribution and moment generating functions, first and second moments of the maximum likelihood estimate (MLE). Asymptotic behavior of the MLE is also discussed

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