The Annals of Statistics

On the Asymptotic Formula for the Probability of a Type I Error of Mixture Type Power One Tests

Moshe Pollak

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Abstract

Let $X_1,X_2,\cdots$ be iid with density $f_y$ with respect to a sigma finite measure $\mu$ where ${f_y}_(y\in\omega$, $\omega\subseteqR$ is an exponential family. Let F be a probability measure on $\omega$ and let $\theta_0\in\omega$. Define $T(B,F)=\min \big\{n \left| \int_omega \frac{f_y(X_1) \1dots f_y(X_n)} {f_{\theta_0}(X_1)\dots f_{\theta_0 (X_1) \1dots f_{\theta_0} (X_n)} dF(y)\geq B \big\}$, $T (B,F) =\infty$ if no such n exists. Previous studies have found that if F has a positive and continuous density with respect to Lebesgue measure on $\omega$, then $BP_\theta\0(t(B,F)<\infty)\rigtharrow_{B\rigtharrow\infty}\int_\omega\ int^\infty_0\exp\{-x\}dH_\theta(x)dF(\theta)$, where $H_\theta$ are certain measures arising in a renewal-theoretic context. Here we show that in a nonlattice context, this convergence holds for general probability measures F. We also show that the convergence is uniform for all probability measures F whose support is contained in an arbitrary interval [a,b] interior to $\omega$, if the distribution of $X_1$ is strongly nonlattice for all $y\in\omega$.

Article information

Source
Ann. Statist., Volume 14, Number 3 (1986), 1012-1029.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350047

Digital Object Identifier
doi:10.1214/aos/1176350047

Mathematical Reviews number (MathSciNet)
MR856803

Zentralblatt MATH identifier
0606.62085

JSTOR
links.jstor.org

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

Keywords
Power one tests mixture-type stopping rules strongly nonlattice renewal theory nonlinear renewal theory

Citation

Pollak, Moshe. On the Asymptotic Formula for the Probability of a Type I Error of Mixture Type Power One Tests. Ann. Statist. 14 (1986), no. 3, 1012--1029. doi:10.1214/aos/1176350047. https://projecteuclid.org/euclid.aos/1176350047


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