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On the asymptotic non-null distribution of randomly stopped log- likelihood ratio statistic. (English) Zbl 0769.62016
Summary: The non-null asymptotic distribution of a randomly stopped log-likelihood ratio statistic for general dependent processes has been obtained. We observed that under certain regularity conditions the limiting distribution of randomly stopped log-likelihood ratio statistic under alternative hypothesis is again a mixture of normal distributions. Some possible applications of the result have also been pointed out.

MSC:
62E20 Asymptotic distribution theory in statistics
62L10 Sequential statistical analysis
60F05 Central limit and other weak theorems
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