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Asymptotic efficiency of three-stage hypothesis tests

Lorden, Gary (1983) Asymptotic efficiency of three-stage hypothesis tests. Annals of Statistics, 11 (1). pp. 129-140. ISSN 0090-5364. http://resolver.caltech.edu/CaltechAUTHORS:LORas83

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Abstract

Multi-stage hypothesis tests are studied as competitors of sequential tests. A class of three-stage tests for the one-dimensional exponential family is shown to be asymptotically efficient, whereas two-stage tests are not. Moreover, in order to be asymptotically optimal, three-stage tests must mimic the behavior of sequential tests. Similar results are obtained for the problem of testing two simple hypotheses.


Item Type:Article
Additional Information:© 1983 Institute of Mathematical Statistics. Received May 1981; revised September 1982. Research supported by the National Science Foundation under Grant MCS-7804870. Thanks are due to a referee for careful reading and criticism and to Bob Berk, Peter Bickel, and David Siegmund for helpful discussions.
Subject Keywords:multi-stage hypothesis test; asymptotic efficiency
Record Number:CaltechAUTHORS:LORas83
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:LORas83
Alternative URL:http://links.jstor.org/sici?sici=0090-5364%28198303%2911%3A1%3C129%3AAEOTHT%3E2.0.CO%3B2-8
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:2114
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:03 May 2006
Last Modified:26 Dec 2012 08:47

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