Best Tests for Zero Drift Based on First Passage Times in Brownian Motion

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Abstract
We give best tests and corresponding power functions for testing the hypothesis of no drift versus the alternative of positive linear drift in a one-dimensional Brownian motion process. The tests are based on a simple random sample from a first passage time distribution associated with the Brownian motion process. In reliability applications the first passage times would be the lifetimes of objects which fail when some noisy physical parameter reaches a critical value. In this case the life distribution is determined by the assumption that the physical parameter behaves like a Brownian motion and then the problem is equivalent to testing the hypothesis of infinite mean life versus the alternative of finite mean life. These tests are also applicable (and remain best) in the case of a single realization of Brownian motion for which only certain crossing time data is available.

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