The Annals of Statistics

Open-Ended Tests for Koopman-Darmois Families

Gary Lorden

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Abstract

The generalized likelihood ratio is used to define a stopping rule for rejecting the null hypothesis $\theta = \theta_0$ in favor of $\theta > \theta_0$. Subject to a bound $\alpha$ on the probability of ever stopping in case $\theta = \theta_0$, the expected sample sizes for $\theta > \theta_0$ are minimized within a multiple of $\log \log \alpha^{-1}$, the multiple depending on $\theta$. 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.

Article information

Source
Ann. Statist., Volume 1, Number 4 (1973), 633-643.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176342459

Digital Object Identifier
doi:10.1214/aos/1176342459

Mathematical Reviews number (MathSciNet)
MR426318

Zentralblatt MATH identifier
0282.62072

JSTOR
links.jstor.org

Subjects
Primary: 62L10: Sequential analysis

Keywords
Likelihood ratio sequential probability ratio test open-ended test asymptotic efficiency

Citation

Lorden, Gary. Open-Ended Tests for Koopman-Darmois Families. Ann. Statist. 1 (1973), no. 4, 633--643. doi:10.1214/aos/1176342459. https://projecteuclid.org/euclid.aos/1176342459


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