an:00203050
Zbl 0769.62016
Basu, A. K.; Bhattacharya, Debasis
On the asymptotic non-null distribution of randomly stopped log- likelihood ratio statistic
EN
Bull., Calcutta Stat. Assoc. 42, No. 167-168, 255-260 (1992).
00013613
1992
j
62E20 62L10 60F05
non-null asymptotic distribution; randomly stopped log-likelihood ratio statistic; general dependent processes; mixture of normal distributions
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.