The problem of determining Bayes tests of power one (without an indifference zone) is considered for Brownian motion with unknown drift. When we let the unit sampling cost depend on the underlying parameter in a natural way, it turns out that a simple Bayes rule is approaximately optimal. Such a rule stops sampling when the posterior probability of the hypothesis is too small.
Publié le : 1986-09-14
Classification:
Sequential Bayes tests for composite hypotheses,
tests of power one,
simple Bayes rules,
62L15,
62C10
@article{1176350048,
author = {Lerche, Hans Rudolf},
title = {The Shape of Bayes Tests of Power One},
journal = {Ann. Statist.},
volume = {14},
number = {2},
year = {1986},
pages = { 1030-1048},
language = {en},
url = {http://dml.mathdoc.fr/item/1176350048}
}
Lerche, Hans Rudolf. The Shape of Bayes Tests of Power One. Ann. Statist., Tome 14 (1986) no. 2, pp. 1030-1048. http://gdmltest.u-ga.fr/item/1176350048/