asymptotic robustness
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scholarly journals On Robustifying of the Sequential Probability Ratio Test for a Discrete Model under “Contaminations”

2016 ◽  
Vol 31 (4) ◽  
Author(s):  
Alexey Kharin
Keyword(s):  
Robustness Analysis ◽  
Sequential Probability Ratio Test ◽  
Ratio Test ◽  
Robust Test ◽  
Probability Ratio ◽  
Asymptotic Robustness ◽  
Risk Criterion ◽  
Sequential Probability Ratio Tests ◽  
Sequential Probability ◽  
Error Probabilities

The problem of robustifying of the sequential probability ratio test is considered for a discrete hypothetical model. Exact values for error probabilities and for conditional expected sample sizes are obtained. Asymptotic robustness analysis for these characteristics is performed under “contaminations”. A two-parametric family of modified sequential probability ratio tests is proposed and analyzed to get the robust test by the minimax risk criterion. Numerical experiments illustrate the theoretical results.

scholarly journals Asymptotic robustness of estimators in rare-event simulation

2010 ◽  
Vol 20 (1) ◽  
pp. 1-41 ◽  
Author(s):  
Pierre L'Ecuyer ◽  
Jose H. Blanchet ◽  
Bruno Tuffin ◽  
Peter W. Glynn
Keyword(s):  
Rare Event ◽  
Rare Event Simulation ◽  
Event Simulation ◽  
Asymptotic Robustness
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