Asymptotically optimal sequential tests for nonhomogeneous processes
- 1 January 1998
- journal article
- research article
- Published by Taylor & Francis in Sequential Analysis
- Vol. 17 (1) , 33-61
- https://doi.org/10.1080/07474949808836397
Abstract
It is shown that under certain conditions the matrix sequential probability ratio test (SPRT) and the combinations of "rejecting" SPRTs minimize all moments of the stopping time distribution in the problem of sequential testing of several simple hypotheses for nonhomogeneous processes when probabilities of errors tend to zero. We consider the general case of observation process with discrete or continuous time parameter and asymmetric (relative to probabilities of errors) classes of tests.Keywords
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