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Zbl 0657.62088
Lai, Tze Leung
Nearly optimal sequential tests of composite hypotheses. (English)
[J] Ann. Stat. 16, No.2, 856-886 (1988). ISSN 0090-5364

A unified approach to testing $H\sb 0:$ $\theta \le \theta\sb 0$ vs $H\sb 1:$ $\theta \ge \theta\sb 1$ and H: $\theta <\theta\sb 0$ vs K: $\theta >\theta\sb 0$ in exponential families with pdf's exp($\theta$ x-$\psi$ ($\theta)$) is presented. A new class of sequential tests is proposed. Asymptotic optimality, as the sampling cost tends to zero, is discussed.
[R.Zielinski]

MSC 2000:: *62L10 Sequential statistical analysis
62L05 Sequential statistical designs
62L15 Optimal stopping (statistics)

Keywords: Bayes sequential tests; diffusion approximations; Kullback-Leibler information; generalized sequential likelihood ratio tests; boundary crossing probabilities; exponential families; Asymptotic optimality

Cited in: Zbl 0816.62063 Zbl 0684.62057

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