The Shape of Bayes Tests of Power One

Hans Rudolf Lerche

doi:10.1214/aos/1176350048

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Home > Journals > Ann. Statist. > Volume 14 > Issue 3 > Article

September, 1986 The Shape of Bayes Tests of Power One

Hans Rudolf Lerche

Ann. Statist. 14(3): 1030-1048 (September, 1986). DOI: 10.1214/aos/1176350048

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Abstract

The problem of determining Bayes tests of power one (without an indifference zone) is considered for Brownian motion with unknown drift. When we let the unit sampling cost depend on the underlying parameter in a natural way, it turns out that a simple Bayes rule is approaximately optimal. Such a rule stops sampling when the posterior probability of the hypothesis is too small.

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Hans Rudolf Lerche. "The Shape of Bayes Tests of Power One." Ann. Statist. 14 (3) 1030 - 1048, September, 1986. https://doi.org/10.1214/aos/1176350048