Comparing Sequential and Non-Sequential Tests

Robert H. Berk

doi:10.1214/aos/1176343202

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Home > Journals > Ann. Statist. > Volume 3 > Issue 4 > Article

July, 1975 Comparing Sequential and Non-Sequential Tests

Robert H. Berk

Ann. Statist. 3(4): 991-998 (July, 1975). DOI: 10.1214/aos/1176343202

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Abstract

Sequential tests for one-sided hypotheses are compared, asymptotically, with non-sequential counterparts. An analog of Pitman efficiency is obtained, as is another comparison that has no purely non-sequential analog. With these methods of comparison, the limiting relative efficiency of the sequential test is never less than one and for most parameter values, it is infinite. An asymptotic notion of minimal relative efficiency is also considered.