Asymptotically optimal multistage tests of simple hypotheses

Details Asymptotically optimal multistage tests of simple hypotheses Asymptotically optimal multistage tests of simple hypotheses

2007-12-05

arxiv.org/abs/0712.0721v1

Annals of Statistics 2007, Vol. 35, No. 5, 2075-2105

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053607000000235 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053607000000235

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.

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