Asymptotic Efficiencies of Sequential Tests II
Berk, Robert H.
Ann. Statist., Tome 6 (1978) no. 1, p. 813-819 / Harvested from Project Euclid
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An asymptotic expression is given for the $\log$ error probability of a sequential test based on a random walk. This may be used to compute limiting relative efficiencies of such tests. The results are illustrated for the one-sided normal testing problem with an asymptotic Bayes test due to Schwarz. Some numerical comparisons are given for five sequential tests of a normal mean.
Publié le : 1978-07-14
Classification:  Sequential test,  asymptotic efficiency,  efficacy,  62L10,  62F05,  62F20,  60G40,  60F99 
@article{1176344254,
     author = {Berk, Robert H.},
     title = {Asymptotic Efficiencies of Sequential Tests II},
     journal = {Ann. Statist.},
     volume = {6},
     number = {1},
     year = {1978},
     pages = { 813-819},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344254}
}

Berk, Robert H. Asymptotic Efficiencies of Sequential Tests II. Ann. Statist., Tome 6 (1978) no. 1, pp.  813-819. http://gdmltest.u-ga.fr/item/1176344254/