Locally Most Powerful Sequential Tests

Robert H. Berk

doi:10.1214/aos/1176343063

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Home > Journals > Ann. Statist. > Volume 3 > Issue 2 > Article

March, 1975 Locally Most Powerful Sequential Tests

Robert H. Berk

Ann. Statist. 3(2): 373-381 (March, 1975). DOI: 10.1214/aos/1176343063

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Abstract

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.

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Robert H. Berk. "Locally Most Powerful Sequential Tests." Ann. Statist. 3 (2) 373 - 381, March, 1975. https://doi.org/10.1214/aos/1176343063

Information

Published: March, 1975

First available in Project Euclid: 12 April 2007

zbMATH: 0332.62063

MathSciNet: MR368346

Digital Object Identifier: 10.1214/aos/1176343063

Subjects:

Primary: 62L10

Secondary: 60G40 , 62E20 , 62F05 , 62F20 , 62L15

Keywords: conjugate parameter pairs , exponential models , locally most powerful test , Optimal stopping , sequential analysis , sequential test , SPRT

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