Lorden, Gary (1972) Likelihood ratio tests for sequential k-decision problems. Annals of Mathematical Statistics, 43 (5). pp. 1412-1427. ISSN 0003-4851 http://resolver.caltech.edu/CaltechAUTHORS:LORams72
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Sequential tests of separated hypotheses concerning the parameter θ of a Koopman-Darmois family are studied from the point of view of minimizing expected sample sizes pointwise in θ 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 α(-1) uniformly in θ, where α 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.
|Additional Information:||Received November 4, 1970; revised January 1972. The author wishes to thank the referee for helpful suggestions.|
|Usage Policy:||No commercial reproduction, distribution, display or performance rights in this work are provided.|
|Deposited By:||Tony Diaz|
|Deposited On:||03 May 2006|
|Last Modified:||26 Dec 2012 08:45|
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