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September, 1986 The Shape of Bayes Tests of Power One
Hans Rudolf Lerche
Ann. Statist. 14(3): 1030-1048 (September, 1986). DOI: 10.1214/aos/1176350048

Abstract

The problem of determining Bayes tests of power one (without an indifference zone) is considered for Brownian motion with unknown drift. When we let the unit sampling cost depend on the underlying parameter in a natural way, it turns out that a simple Bayes rule is approaximately optimal. Such a rule stops sampling when the posterior probability of the hypothesis is too small.

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Hans Rudolf Lerche. "The Shape of Bayes Tests of Power One." Ann. Statist. 14 (3) 1030 - 1048, September, 1986. https://doi.org/10.1214/aos/1176350048

Information

Published: September, 1986
First available in Project Euclid: 12 April 2007

zbMATH: 0604.62078
MathSciNet: MR856804
Digital Object Identifier: 10.1214/aos/1176350048

Subjects:
Primary: 62L15
Secondary: 62C10

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 3 • September, 1986
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