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Zbl 1075.62069
Chan, H.P.; Lai, T.L.
Importance sampling for generalized likelihood ratio procedures in sequential analysis. (English)
[J] Sequential Anal. 24, No. 3, 259-278 (2005). ISSN 0747-4946; ISSN 1532-4176/e

Summary: This paper describes importance sampling techniques for Monte Carlo computation of the error probabilities and false alarm rates of sequential GLR (generalized likelihood ratio) tests and detection rules. It also discusses asymptotically optimal choice of the proposal distributions for importance sampling and gives numerical comparisons of the sequential GLR procedures with other sequential tests of composite hypotheses and detection rules in the literature.

MSC 2000:: *62L10 Sequential statistical analysis
65C05 Monte Carlo methods

Keywords: generalized likelihood ratio; importance sampling; multivariate exponential family; sequential change-point detection; sequential multiple hypothesis testing

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