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Zbl 1059.62581
Dragalin, Vladimir P.; Tartakovsky, Alexander G.; Veeravalli, Venugopal V.
Multihypothesis sequential probability ratio tests. II: Accurate asymptotic expansions for the expected sample size. (English)
[J] IEEE Trans. Inf. Theory 46, No. 4, 1366-1383 (2000). ISSN 0018-9448

Summary: For Part I, see ibid. 45, 2448--2461 (1999; Zbl 1131.62313). We proved in Part I that two specific constructions of multihypothesis sequential tests, which we refer to as multihypothesis sequential probability ratio tests (MSPRTs), are asymptotically optimal as the decision risks (or error probabilities) go to zero. The MSPRTs asymptotically minimize not only the expected sample size but also any positive moment of the stopping time distribution, under very general statistical models for the observations. In this paper, based on nonlinear renewal theory we find accurate asymptotic approximations (up to a vanishing term) for the expected sample size that take into account the ``overshoot'' over the boundaries of decision statistics. The approximations are derived for the scenario where the hypotheses are simple, the observations are independent and identically distributed (i.i.d.) according to one of the underlying distributions, and the decision risks go to zero. Simulation results for practical examples show that these approximations are fairly accurate not only for large but also for moderate sample sizes. The asymptotic results given here complete the analysis initiated by {\it C. W. Baum} and {\it V. V. Veeravalli} [see IEEE Trans. Inf. Theory 40, No. 6, 1994--2007 (1994; Zbl 0828.62070), where first-order asymptotics were obtained for the expected sample size under a specific restriction on the Kullback-Leibler distances between the hypotheses

MSC 2000:: *62L10 Sequential statistical analysis

Citations: Zbl 1131.62313; Zbl 0828.62070

Cited in: Zbl 1131.62313

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