Abstract
The problem of determining Bayes tests of power one (without an indifference zone) is considered for Brownian motion with unknown drift. When we let the unit sampling cost depend on the underlying parameter in a natural way, it turns out that a simple Bayes rule is approaximately optimal. Such a rule stops sampling when the posterior probability of the hypothesis is too small.
Citation
Hans Rudolf Lerche. "The Shape of Bayes Tests of Power One." Ann. Statist. 14 (3) 1030 - 1048, September, 1986. https://doi.org/10.1214/aos/1176350048
Information