The Annals of Statistics
- Ann. Statist.
- Volume 3, Number 2 (1975), 373-381.
Locally Most Powerful Sequential Tests
Sequential tests that are LMP for certain one-sided testing problems are discussed. In all cases considered, the stopping rule is the first time a certain random walk leaves a bounded interval. (Thus various inequalities and approximations due to Wald can be utilized in obtaining properties of these tests.) For models in a one-parameter exponential family, each LMP sequential test is shown to be a Wald SPRT for a family of paired (conjugate) simple hypotheses.
Ann. Statist., Volume 3, Number 2 (1975), 373-381.
First available in Project Euclid: 12 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62L10: Sequential analysis
Secondary: 62L15: Optimal stopping [See also 60G40, 91A60] 62F05: Asymptotic properties of tests 62F20 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 62E20: Asymptotic distribution theory
Berk, Robert H. Locally Most Powerful Sequential Tests. Ann. Statist. 3 (1975), no. 2, 373--381. doi:10.1214/aos/1176343063. https://projecteuclid.org/euclid.aos/1176343063