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An optimal procedure for testing hypotheses on cadlag processes

 

作者: Christophe Koell,  

 

期刊: Sequential Analysis  （Taylor Available online 1994）
卷期: Volume 13, issue 3  

页码: 221-236

 

ISSN:0747-4946

 

年代: 1994

 

DOI:10.1080/07474949408836306

 

出版商: Marcel Dekker, Inc.

 

关键词: optimality;Kullback information;bayesian decision problem;Wald's sequential decision rule

 

数据来源: Taylor

 

摘要:

We consider a process X whose paths are right-continuous and have limits from the left, and denote byPits law. IfP0andP1are two given probability measures, we show that under some conditions, Wald's sequential procedure for testingH0: P = P0versusH1: P = P1is optimal among a certain class of decision rules, in the sense that it minimizes the Kullback informations under both probability measures. As a conclusion,we give some applications of this result.

 

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