A Modification of schwarz's sequential likelihood ratio tests in multivariate sequential analysis
作者:
Tze Leung Lai,
Limin Zhang,
期刊:
Sequential Analysis
(Taylor Available online 1994)
卷期:
Volume 13,
issue 2
页码: 79-96
ISSN:0747-4946
年代: 1994
DOI:10.1080/07474949408836296
出版商: Marcel Dekker, Inc.
关键词: Kullback-Leibler information;multiparameter exponential family;Hoeffding's lower bound;Bayes risk efficiency
数据来源: Taylor
摘要:
By developing and applying certain results on boundary crossing probabilities of generalized likelihood ratio statistics in multiparameter exponential families, we show that Lai's (1988a) modification of Schwarz's (1962) sequential likelihood ratio tests of one-sided hypotheses in the one-parameter case can be extended to general hypotheses in the multiparameter case. Such tests are shown to be asymptotically optimal, from both frequentist and Bayesian points of view, and numerical results are also given to demonstrate their performance.
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