The Annals of Statistics

Asymptotic Efficiency of Three-Stage Hypothesis Tests

Gary Lorden

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Abstract

Multi-stage hypothesis tests are studied as competitors of sequential tests. A class of three-stage tests for the one-dimensional exponential family is shown to be asymptotically efficient, whereas two-stage tests are not. Moreover, in order to be asymptotically optimal, three-stage tests must mimic the behavior of sequential tests. Similar results are obtained for the problem of testing two simple hypotheses.

Article information

Source
Ann. Statist., Volume 11, Number 1 (1983), 129-140.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176346064

Digital Object Identifier
doi:10.1214/aos/1176346064

Mathematical Reviews number (MathSciNet)
MR684871

Zentralblatt MATH identifier
0519.62022

JSTOR
links.jstor.org

Subjects
Primary: 62F05: Asymptotic properties of tests
Secondary: 62L10: Sequential analysis

Keywords
Multi-stage hypothesis test asymptotic efficiency

Citation

Lorden, Gary. Asymptotic Efficiency of Three-Stage Hypothesis Tests. Ann. Statist. 11 (1983), no. 1, 129--140. doi:10.1214/aos/1176346064. https://projecteuclid.org/euclid.aos/1176346064


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