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Locally most powerful sequential tests of a simple hypothesis vs. One-sided alternatives for independent observations

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dc.contributor.author Novikov A.
dc.contributor.author Novikov P.
dc.date.accessioned 2018-09-18T20:32:07Z
dc.date.available 2018-09-18T20:32:07Z
dc.date.issued 2012
dc.identifier.issn 0040-585X
dc.identifier.uri https://dspace.kpfu.ru/xmlui/handle/net/140883
dc.description.abstract Let a stochastic process with independent values X 1,X 2,...,X n,... be observed and let its distribution Pθ depend on an unknown parameter θ. In this paper we consider the problem of testing a simple hypothesis H 0: θ = θ 0 vs. a composite alternative H 1: θ > θ 0, where θ 0 ε Θ is a fixed value of the parameter. In the first part of this work we present conditions for differentiability (at θ0) of the power function of any sequential test and obtain some inequalities of informational type relating the average sample number with the type-I probability error to the derivative of the power function of sequential tests. In the second part of the work we characterize the structure of locally most powerful (in the sense of Berk [Ann. Statist., 3 (1975), pp. 373-381]) sequential tests in this problem (maximizing derivative of a power function under given constraints on the type-I probability error and the average sample number). © 2012 Society for Industrial and Applied Mathematics.
dc.relation.ispartofseries Theory of Probability and its Applications
dc.subject Locally most powerful test
dc.subject One-sided alternative
dc.subject Optimal sequential decision
dc.subject Sequential analysis
dc.subject Sequential test
dc.subject Statistical hypothesis testing
dc.title Locally most powerful sequential tests of a simple hypothesis vs. One-sided alternatives for independent observations
dc.type Article
dc.relation.ispartofseries-issue 3
dc.relation.ispartofseries-volume 56
dc.collection Публикации сотрудников КФУ
dc.relation.startpage 420
dc.source.id SCOPUS0040585X-2012-56-3-SID84867692350


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  • Публикации сотрудников КФУ Scopus [24551]
    Коллекция содержит публикации сотрудников Казанского федерального (до 2010 года Казанского государственного) университета, проиндексированные в БД Scopus, начиная с 1970г.

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