Locally Most Powerful Sequential Tests
Berk, Robert H.
Ann. Statist., Tome 3 (1975) no. 1, p. 373-381 / Harvested from Project Euclid
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Sequential tests that are LMP for certain one-sided testing problems are discussed. In all cases considered, the stopping rule is the first time a certain random walk leaves a bounded interval. (Thus various inequalities and approximations due to Wald can be utilized in obtaining properties of these tests.) For models in a one-parameter exponential family, each LMP sequential test is shown to be a Wald SPRT for a family of paired (conjugate) simple hypotheses.
Publié le : 1975-03-14
Classification:  Sequential analysis,  sequential test,  locally most powerful test,  SPRT,  exponential models,  conjugate parameter pairs,  optimal stopping,  62L10,  62L15,  62F05,  62F20,  60G40,  62E20 
@article{1176343063,
     author = {Berk, Robert H.},
     title = {Locally Most Powerful Sequential Tests},
     journal = {Ann. Statist.},
     volume = {3},
     number = {1},
     year = {1975},
     pages = { 373-381},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343063}
}

Berk, Robert H. Locally Most Powerful Sequential Tests. Ann. Statist., Tome 3 (1975) no. 1, pp.  373-381. http://gdmltest.u-ga.fr/item/1176343063/