Distinguishability of Probability Measures
Fisher, Lloyd ; Ness, John W. Van
Ann. Math. Statist., Tome 40 (1969) no. 6, p. 381-392 / Harvested from Project Euclid
Independent identically distributed observations, $X_1, X_2, \cdots$, are taken sequentially. All that is known a priori about their common probability measure, $P$, is that it is a member of a given (at most countable) family, $\pi = \{P_n\}^\infty_{n=1}$, of such measures. At some time, depending only on the observed data and the tolerable probability of error, one wants to stop and decide which $P_k$ nature has chosen. Two sampling situations are considered, with and without error, as well as two stopping time requirements, uniformly (over $\pi$) bounded and $P_k$-dependent. Necessary and/or sufficient conditions for the distinguishability of the measures in $\pi$ in terms of a variety of measure metrics are obtained. The Levy-Prokhorov metric proves to be particularly relevant.
Publié le : 1969-04-14
Classification: 
@article{1177697702,
     author = {Fisher, Lloyd and Ness, John W. Van},
     title = {Distinguishability of Probability Measures},
     journal = {Ann. Math. Statist.},
     volume = {40},
     number = {6},
     year = {1969},
     pages = { 381-392},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697702}
}
Fisher, Lloyd; Ness, John W. Van. Distinguishability of Probability Measures. Ann. Math. Statist., Tome 40 (1969) no. 6, pp.  381-392. http://gdmltest.u-ga.fr/item/1177697702/