Asymptotic Efficiencies of Sequential Tests

Robert H. Berk

doi:10.1214/aos/1176343587

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Home > Journals > Ann. Statist. > Volume 4 > Issue 5 > Article

September, 1976 Asymptotic Efficiencies of Sequential Tests

Robert H. Berk

Ann. Statist. 4(5): 891-911 (September, 1976). DOI: 10.1214/aos/1176343587

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Abstract

Some concepts of relative and absolute efficiency for sequential tests are considered. These are sequential analogs of Hodges-Lehmann and Chernoff efficiencies. Using these criteria, several sequential tests for the mean of a normal distribution are evaluated. Among them are Wald's SPRT, Anderson's triangular boundary, Bayes and APO tests and a repeated significance test. Truncated versions of these tests are also considered. Asymptotic expressions for the (expected) stopping times and error rates are given.

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Robert H. Berk. "Asymptotic Efficiencies of Sequential Tests." Ann. Statist. 4 (5) 891 - 911, September, 1976. https://doi.org/10.1214/aos/1176343587

Information

Published: September, 1976

First available in Project Euclid: 12 April 2007

zbMATH: 0374.62076

MathSciNet: MR418368

Digital Object Identifier: 10.1214/aos/1176343587

Subjects:

Primary: 62L10

Secondary: 60G40 , 62E20 , 62F05 , 62F20

Keywords: Anderson's boundaries , APO test , Asymptotic efficiency , Bayes sequential test , repeated significance test , sequential test , SPRT , truncated sequential test , Wiener process