The Annals of Mathematical Statistics

Lower Bounds for the Expected Sample Size and the Average Risk of a Sequential Procedure

Wassily Hoeffding

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Abstract

Sections 1-6 are concerned with lower bounds for the expected sample size, $E_0(N)$, of an arbitrary sequential test whose error probabilities at two parameter points, $\theta_1$ and $\theta_2$, do not exceed given numbers, $\alpha_1$ and $\alpha_2$, where $E_0(N)$ is evaluated at a third parameter point, $\theta_0$. The bounds in (1.3) and (1.4) are shown to be attainable or nearly attainable in certain cases where $\theta_0$ lies between $\theta_1$ and $\theta_2$. In Section 7 lower bounds for the average risk of a general sequential procedure are obtained. In Section 8 these bounds are used to derive further lower bounds for $E_0(N)$ which in general are better than (1.3).

Article information

Source
Ann. Math. Statist., Volume 31, Number 2 (1960), 352-368.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177705898

Digital Object Identifier
doi:10.1214/aoms/1177705898

Mathematical Reviews number (MathSciNet)
MR120750

Zentralblatt MATH identifier
0098.32705

JSTOR
links.jstor.org

Citation

Hoeffding, Wassily. Lower Bounds for the Expected Sample Size and the Average Risk of a Sequential Procedure. Ann. Math. Statist. 31 (1960), no. 2, 352--368. doi:10.1214/aoms/1177705898. https://projecteuclid.org/euclid.aoms/1177705898


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