The Annals of Statistics

Asymptotically optimal multistage tests of simple hypotheses

Jay Bartroff

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Abstract

A family of variable stage size multistage tests of simple hypotheses is described, based on efficient multistage sampling procedures. Using a loss function that is a linear combination of sampling costs and error probabilities, these tests are shown to minimize the integrated risk to second order as the costs per stage and per observation approach zero. A numerical study shows significant improvement over group sequential tests in a binomial testing problem.

Article information

Source
Ann. Statist., Volume 35, Number 5 (2007), 2075-2105.

Dates
First available in Project Euclid: 7 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1194461723

Digital Object Identifier
doi:10.1214/009053607000000235

Mathematical Reviews number (MathSciNet)
MR2363964

Zentralblatt MATH identifier
1126.62066

Subjects
Primary: 62L10: Sequential analysis
Secondary: 91A20: Multistage and repeated games

Keywords
Multistage hypothesis testing asymptotic optimality group sequential

Citation

Bartroff, Jay. Asymptotically optimal multistage tests of simple hypotheses. Ann. Statist. 35 (2007), no. 5, 2075--2105. doi:10.1214/009053607000000235. https://projecteuclid.org/euclid.aos/1194461723


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