Efficiency and Minimaxity of Bayes Sequential Procedures in Simple versus Simple Hypothesis Testing for General Nonregular Models

  • Hyun Sook Oh (Department of Statistics, Kyungwon University, Sungnam 461-701, Korea.) ;
  • Anirban DasGupta (Department of Statistics, Purdue: University, W. Lafayette, IN 47906.)
  • Published : 1996.03.01

Abstract

We consider the question of efficiency of the Bayes sequential procedure with respect to the optimal fixed sample size Bayes procedure in a simple vs. simple testing problem for data coming from a general nonregular density b(.theta.)h(x)l(x < .theta.). Efficiency is defined in two different ways in these caiculations. Also, the minimax sequential risk (and minimax sequential stratage) is studied as a function of the cost of sampling.

Keywords

References

  1. Statistical Decision Theory and Bayesian Analysis(2nd Edition) Berger, J.
  2. Annals of Statistics v.8 Complete classes for sequential tests of Hypotheses Brown, L. D.;Cohen, A.;Strawderman, W. E.
  3. Mathematical Statistics: A Decision-Theoretic Approach Ferguson, T. S.
  4. Sequential Tests of Statistical Hypotheses Ghosh, B. K.
  5. Annals of Mathematical Statistics v.34 Asymptotically optimum sequential inference and design Kiffer, J.;Sacks, J.
  6. Sequential Analysis Wald, A.
  7. Statistical Decision Functions Wald, A.
  8. Annals of Mathematical Statistics v.19 Optimum charater of sequential probability ratio test Wald, A.;wolfowitz, J.