The Annals of Statistics

Optimality and Almost Optimality of Mixture Stopping Rules

Moshe Pollak

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Abstract

It is shown that for a test of a composite hypothesis on the parameter $\theta$ of an exponential family of distributions, mixture stopping rules are almost optimal with respect to certain criteria of optimality and a unique stopping rule is to be found among them which is optimal with respect to another type of optimality.

Article information

Source
Ann. Statist. Volume 6, Number 4 (1978), 910-916.

Dates
First available: 12 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aos/1176344264

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aos/1176344264

Mathematical Reviews number (MathSciNet)
MR494737

Zentralblatt MATH identifier
0378.62071

Subjects
Primary: 62L10: Sequential analysis
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 62L05: Sequential design

Keywords
Optimality mixture stopping rules open ended tests ASN minimax Bayes optimal stopping exponential family Brownian motion

Citation

Pollak, Moshe. Optimality and Almost Optimality of Mixture Stopping Rules. The Annals of Statistics 6 (1978), no. 4, 910--916. doi:10.1214/aos/1176344264. http://projecteuclid.org/euclid.aos/1176344264.


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