Properties of Generalized Sequential Probability Ratio Tests
Eisenberg, Bennett ; Ghosh, B. K. ; Simons, Gordon
Ann. Statist., Tome 4 (1976) no. 1, p. 237-251 / Harvested from Project Euclid
We consider generalized sequential probability ratio tests (GSPRT's), which are not necessarily based on independent or identically distributed observations, to distinguish between probability measures $P$ and $Q$. It is shown that if $T$ is any test in a wide class of GSPRT's, including all SPRT's, and $T'$ is any rival test possessing error probabilities and sample sizes no greater than those of $T$, then $T'$ must be equivalent to $T$. This notion of optimality of $T$ is weaker than that of Kiefer and Weiss but the results are stronger than theirs. It is also shown that, if an SPRT $T'$ has at least one error probability strictly less than that of another SPRT $T$ with the other error probability no larger, $T'$ requires strictly more observations than $T$ some of the time, under both $P$ and $Q$, and never fewer observations. This assertion generalizes Wijsman's conclusions. The methods used in this paper are quite general, and are different from those of the earlier authors.
Publié le : 1976-03-14
Classification:  Generalized sequential probability ratio test,  admissibility,  optimality,  sequential probability ratio test,  likelihood ratio,  62L10
@article{1176343404,
     author = {Eisenberg, Bennett and Ghosh, B. K. and Simons, Gordon},
     title = {Properties of Generalized Sequential Probability Ratio Tests},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 237-251},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343404}
}
Eisenberg, Bennett; Ghosh, B. K.; Simons, Gordon. Properties of Generalized Sequential Probability Ratio Tests. Ann. Statist., Tome 4 (1976) no. 1, pp.  237-251. http://gdmltest.u-ga.fr/item/1176343404/