Annals of Statistics

Comparing Sequential and Non-Sequential Tests

Robert H. Berk

Full-text: Open access

Abstract

Sequential tests for one-sided hypotheses are compared, asymptotically, with non-sequential counterparts. An analog of Pitman efficiency is obtained, as is another comparison that has no purely non-sequential analog. With these methods of comparison, the limiting relative efficiency of the sequential test is never less than one and for most parameter values, it is infinite. An asymptotic notion of minimal relative efficiency is also considered.

Article information

Source
Ann. Statist., Volume 3, Number 4 (1975), 991-998.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176343202

Digital Object Identifier
doi:10.1214/aos/1176343202

Mathematical Reviews number (MathSciNet)
MR378293

Zentralblatt MATH identifier
0328.62052

JSTOR
links.jstor.org

Subjects
Primary: 62L10: Sequential analysis
Secondary: 62F05: Asymptotic properties of tests 62F20 62E20: Asymptotic distribution theory 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]

Keywords
Sequential analysis sequential test limiting relative efficiency limiting minimal efficiency Pitman efficiency gambler's ruin

Citation

Berk, Robert H. Comparing Sequential and Non-Sequential Tests. Ann. Statist. 3 (1975), no. 4, 991--998. doi:10.1214/aos/1176343202. https://projecteuclid.org/euclid.aos/1176343202


Export citation