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math.ST2026
The relative efficiency of sequential tests
Henri Doerks, Erik Ekström, Yuqiong Wang
While many statistical procedures rely on a fixed sample size, sequential methods allow a decision-maker to adapt the sample size to achieve a given precision. In this way, sequent…
math.ST2019
Bayesian sequential least-squares estimation for the drift of a Wiener process
Erik Ekström, Ioannis Karatzas, Juozas Vaicenavicius
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for…