AISM 53, 799-809
© 2001 ISM
(Received February 15, 1999; revised July 24, 2000)
Abstract. An asymptotic expansion of the logarithm of the likelihood ratio for Markov dependent observation is obtained. A functional limit theorem for the likelihood ratio is proved, which gives a way to study limiting distributions of the likelihood ratio based on stopping times, in particular, that of sequential probability ratio test.
Key words and phrases: Likelihood ratio, Markov process, asymptotic expansion, functional limit theorem, sequential probability ratio test.
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