An Efficient Approximate Solution to the Kiefer-Weiss Problem
Huffman, Michael D.
Ann. Statist., Tome 11 (1983) no. 1, p. 306-316 / Harvested from Project Euclid
The problem is to decide on the basis of repeated independent observations whether $\theta_0$ or $\theta_1$ is the true value of the parameter $\theta$ of a Koopman-Darmois family of densities, where the error probabilities are at most $\alpha_0$ and $\alpha_1$. An explicit method is derived for determining a combination of one-sided SPRT's, known, as a 2-SPRT, which minimizes the maximum expected sample size to within $o((\log \alpha^{-1}_0)^{1/2})$ as $\alpha_0$ and $\alpha_1$ go to 0, subject to the condition that $0 < C_1 < \log \alpha_0/\log\alpha_1 < C_2 < \infty$ for fixed but arbitrary constants $C_1$ and $C_2$. For the case of testing the mean of an exponential density, extensive computer calculations comparing the proposed 2-SPRT with optimal procedures show that the 2-SPRT comes within 2% of minimizing the maximum expected sample size over a broad range of error probability and parameter values.
Publié le : 1983-03-14
Classification:  Asymptotic efficiency,  sequential probability ratio test,  2-SPRT,  62L10,  62F03
@article{1176346081,
     author = {Huffman, Michael D.},
     title = {An Efficient Approximate Solution to the Kiefer-Weiss Problem},
     journal = {Ann. Statist.},
     volume = {11},
     number = {1},
     year = {1983},
     pages = { 306-316},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176346081}
}
Huffman, Michael D. An Efficient Approximate Solution to the Kiefer-Weiss Problem. Ann. Statist., Tome 11 (1983) no. 1, pp.  306-316. http://gdmltest.u-ga.fr/item/1176346081/