Displaying similar documents to “Optimal sequential multiple hypothesis testing in presence of control variables”

Stability estimating in optimal sequential hypotheses testing

Evgueni I. Gordienko, Andrey Novikov, Elena Zaitseva (2009)

Kybernetika

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We study the stability of the classical optimal sequential probability ratio test based on independent identically distributed observations X 1 , X 2 , ⋯ when testing two simple hypotheses about their common density f : f = f 0 versus f = f 1 . As a functional to be minimized, it is used a weighted sum of the average (under f 0 ) sample number and the two types error probabilities. We prove that the problem is reduced to stopping time optimization for a ratio process generated by X 1 , X 2 , ⋯ with the density f 0 . For τ * being...

Optimal sequential multiple hypothesis tests

Andrey Novikov (2009)

Kybernetika

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This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.

Optimal sequential procedures with Bayes decision rules

Andrey Novikov (2010)

Kybernetika

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In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does not exceed some given bound. We characterize the form of optimal sequential stopping rules in this problem. In particular, we have a characterization of the form of optimal sequential decision procedures when the Bayesian risk includes both the loss...