Lorden, Gary (1973) Open-ended tests for Koopman-Darmois families. Annals of Statistics, 1 (4). pp. 633-643. ISSN 0090-5364. https://resolver.caltech.edu/CaltechAUTHORS:LORas73
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Abstract
The generalized likelihood ratio is used to define a stopping rule for rejecting the null hypothesis θ = θ0 in favor of θ > θ0. Subject to a bound α on the probability of ever stopping in case θ = θ0, the expected sample sizes for θ > θ0 are minimized within a multiple of log log α-1, the multiple depending on θ. An heuristic bound on the error probability of a likelihood ratio procedure is derived and verified in the case of a normal mean by consideration of a Wiener process. Useful lower bounds on the small-sample efficiency in the normal case are thereby obtained.
Item Type: | Article | ||||||
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Additional Information: | © 1973 Institute of Mathematical Statistics. Received November 1970; revised October 1972. | ||||||
Subject Keywords: | Likelihood ratio, sequential probability ratio test, open-ended test, asymptotic efficiency | ||||||
Issue or Number: | 4 | ||||||
Record Number: | CaltechAUTHORS:LORas73 | ||||||
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:LORas73 | ||||||
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
ID Code: | 7237 | ||||||
Collection: | CaltechAUTHORS | ||||||
Deposited By: | Tony Diaz | ||||||
Deposited On: | 23 Jan 2007 | ||||||
Last Modified: | 02 Oct 2019 23:40 |
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