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5988概率中等数值题medium

Expected Sample Size of a Sequential Drift Test

题目

A sequential test accumulates i.i.d. log-likelihood increments X1,X2,X_1,X_2,\dots with E[Xi]=0.25E[X_i]=0.25. The test stops at N=min{n:Sn3}N=\min\{n: |S_n|\ge 3\} where Sn=i=1nXiS_n=\sum_{i=1}^n X_i, and it is given that E[N]<E[N]<\infty and that the expected stopped statistic is E[SN]=2.0E[S_N]=2.0 (reflecting that the upper boundary is hit far more often under this positive drift). Each observation costs $6 to collect. Using a Wald-style identity, find the expected total data-collection cost.

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