Nearly Optimal Sequential Tests of Composite Hypotheses
نویسندگان
چکیده
منابع مشابه
Composite Hypotheses and Generalized Likelihood Ratio Tests
In many real world problems, it is difficult to precisely specify probability distributions. Our models for data may involve unknown parameters or other characteristics. Here are a few motivating examples. Example: Unknown amplitudes/delays in wireless communications. We don't always know how many relays a signal will go through, how strong the signal will be at each receiver, the distance betw...
متن کاملAnalysis of Robustness for Sequential Tests of Composite Hypotheses under Functional Distortion of Priors and Likelihoods
Composite hypotheses are tested sequentially in many applications, especially in medicine and quality control (see Lai (2001)). Although some optimal properties of sequential tests are valid (see, for example, Malyutov et al. (2000)) in frames of hypothetical models, the observed data do not follow these models exactly, the hypothetical models are distorted (see Huber (2004) and Hampel et al. (...
متن کاملStability Estimating in Optimal Sequential Hypotheses Testing
We study the stability of the classical optimal sequential probability ratio test based on independent identically distributed observations X1, X2, . . . when testing two simple hypotheses about their common density f : f = f0 versus f = f1. As a functional to be minimized, it is used a weighted sum of the average (under f0) sample number and the two types error probabilities. We prove that the...
متن کاملRobustness Evaluation in Sequential Testing of Composite Hypotheses
The problem of sequential testing of composite hypotheses is considered. Asymptotic expansions are constructed for the conditional error probabilities and expected sample sizes under “contamination” of the probability distribution of observations. To obtain these results a new approach based on approximation of the generalized likelihood ratio statistic by a specially constructed Markov chain i...
متن کاملOptimal Sequential Multiple Hypothesis Tests
This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1988
ISSN: 0090-5364
DOI: 10.1214/aos/1176350840