Annals of Statistics

Asymptotic Efficiencies of Sequential Tests II

Robert H. Berk

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Abstract

An asymptotic expression is given for the $\log$ error probability of a sequential test based on a random walk. This may be used to compute limiting relative efficiencies of such tests. The results are illustrated for the one-sided normal testing problem with an asymptotic Bayes test due to Schwarz. Some numerical comparisons are given for five sequential tests of a normal mean.

Article information

Source
Ann. Statist., Volume 6, Number 4 (1978), 813-819.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176344254

Digital Object Identifier
doi:10.1214/aos/1176344254

Mathematical Reviews number (MathSciNet)
MR488543

Zentralblatt MATH identifier
0378.62070

JSTOR
links.jstor.org

Subjects
Primary: 62L10: Sequential analysis
Secondary: 62F05: Asymptotic properties of tests 62F20 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 60F99: None of the above, but in this section

Keywords
Sequential test asymptotic efficiency efficacy

Citation

Berk, Robert H. Asymptotic Efficiencies of Sequential Tests II. Ann. Statist. 6 (1978), no. 4, 813--819. doi:10.1214/aos/1176344254. https://projecteuclid.org/euclid.aos/1176344254


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