Likelihood Ratio Tests for Sequential $k$-Decision Problems
Lorden, Gary
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1412-1427 / Harvested from Project Euclid
Sequential tests of separated hypotheses concerning the parameter $\theta$ of a Koopman-Darmois family are studied from the point of view of minimizing expected sample sizes pointwise in $\theta$ subject to error probability bounds. Sequential versions of the (generalized) likelihood ratio test are shown to exceed the minimum expected sample sizes by at most $M \log \log \underline{\alpha}^{-1}$ uniformly in $\theta$, where $\underline{\alpha}$ is the smallest error probability bound. The proof considers the likelihood ratio tests as ensembles of sequential probability ratio tests and compares them with alternative procedures by constructing alternative ensembles, applying a simple inequality of Wald and a new inequality of similar type. A heuristic approximation is given for the error probabilities of likelihood ratio tests, which provides an upper bound in the case of a normal mean.
Publié le : 1972-10-14
Classification: 
@article{1177692374,
     author = {Lorden, Gary},
     title = {Likelihood Ratio Tests for Sequential $k$-Decision Problems},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1412-1427},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177692374}
}
Lorden, Gary. Likelihood Ratio Tests for Sequential $k$-Decision Problems. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1412-1427. http://gdmltest.u-ga.fr/item/1177692374/