Asymptotic Efficiencies of Sequential Tests II

Robert H. Berk

doi:10.1214/aos/1176344254

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Home > Journals > Ann. Statist. > Volume 6 > Issue 4 > Article

July, 1978 Asymptotic Efficiencies of Sequential Tests II

Robert H. Berk

Ann. Statist. 6(4): 813-819 (July, 1978). DOI: 10.1214/aos/1176344254

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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.