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The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. (English. Russian original) Zbl 1284.62136
Russ. Math. Surv. 68, No. 2, 389-391 (2013); translation from Usp. Mat. Nauk. 68, No. 2, 201-202 (2013).
From the text: The Kiefer-Weiss problem of sequential hypotheses testing consists in finding the decision rule that minimizes the maximal average observation time under a constraint on the probability of an error.

MSC:
62F03 Parametric hypothesis testing
62L15 Optimal stopping in statistics
60J65 Brownian motion
62L10 Sequential statistical analysis
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References:
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