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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.

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