A dependent data extension of Wald´s identity and its application to sequential test performance computation

Author

Sadowsky, Jhon S.

Author_Institution

Sch. of Electr. Eng., Purdue Univ., West Lafayette, IN, USA

Volume

35

Issue

4

fYear

1989

fDate

7/1/1989 12:00:00 AM

Firstpage

834

Lastpage

842

Abstract

The development of an exponential transformation of measure not restricted to independent identically distributed data is presented for a class of semi-Markov processes known as Markov-additive (MA) process. The MA measure transformation is applied to obtain a new form of the Wald identity. To demonstrate the utility of this extension to MA processes, the application of sequential tests with Markov data to error probability performance analysis is investigated. In particular, it is demonstrated how previous work dealing with robust error probability evaluation in the presence of uncertain serial dependency can be applied to sequential tests

Keywords

Markov processes; error statistics; information theory; Markov additive processes; Wald identity; dependent data extension; error probability; exponential transformation; measure transformation; semi-Markov processes; sequential test performance computation; Density functional theory; Distributed computing; Error analysis; Error probability; Performance analysis; Robustness; Sequential analysis; State-space methods; Statistical analysis; Statistical distributions;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.32160

Filename

32160