Optimal Sequential Tests for Two Simple Hypotheses

DOI10.1080/07474940902816809zbMath1162.62080OpenAlexW2019035858MaRDI QIDQ3630050

Andrey Novikov

Publication date: 2 June 2009

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a910709430

zbMATH Keywords

sequential analysiscomposite hypothesessequential probability ratio testsequential hypothesis testingdiscrete-time Markov processdependent observationstwo simple hypothesesdiscrete-time stochastic processoptimal sequential testKiefer-Weiss problemBayesian sequential testing

Mathematics Subject Classification ID

Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items

Information inequalities for characteristics of group-sequential test with groups of observations of random size, Design and performance evaluation in Kiefer-Weiss problems when sampling from discrete exponential families, Bayesian sequential joint detection and estimation under multiple hypotheses, A computational approach to the Kiefer-Weiss problem for sampling from a Bernoulli population, Optimal group sequential tests with groups of random size, Performance Analysis of Sequential Probability Ratio Test, Unnamed Item, Numerical solution of Kiefer-Weiss problems when sampling from continuous exponential families, Unnamed Item, Degenerate-generalized likelihood ratio test for one-sided composite hypotheses, Bayesian sequential joint detection and estimation, Sequential hypothesis tests under random horizon, Optimal multistage sequential hypothesis testing, Locally most powerful sequential tests of a simple hypothesis vs. one-sided alternatives, A Linear Programming Approach to Sequential Hypothesis Testing, Characterization of optimality in classes of ``truncatable stopping rules, CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal sequentially planned decision procedures. With the assistance of Günter Duscha, Josef Lübbert and Thomas Meyerthole
• Locally most powerful sequential tests
• Some Properties of Generalized Sequential Probability Ratio Tests
• Optimality of the sequential probability ratio test for nonstationary observations
• Structure of sequential tests minimizing an expected sample size
• Remark on the modified kiefeer-weiss problem for exponntial families
• Comment on "Optimality of the sequential probability ratio test for nonstationary observations" by Y. Liu and S.D. Blostein
• Asymptotic Shapes of Bayes Sequential Testing Regions
• Likelihoodquotienten‐Sequenztests bei homogenen Markoffschen Ketten
• On Sequential Tests Which Minimize the Maximum Expected Sample Size
• Optimum Character of the Sequential Probability Ratio Test
• Sequential Tests of Statistical Hypotheses