Title :
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
fDate :
7/1/1989 12:00:00 AM
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;
Journal_Title :
Information Theory, IEEE Transactions on
