Date of this Version
The Annals of Statistics
Consider the problem of sequentially testing composite, contiguous hypotheses where the risk function is a linear combination of the probability of error in the terminal decision and the expected sample size. Assume that the common boundary of the closures of the null and the alternative hypothesis is compact. Observations are independent and identically distributed. We study properties of Bayes tests. One property is the exponential boundedness of the stopping time. Another property is continuity of the risk functions. The continuity property is used to establish complete class theorems as opposed to the essentially complete class theorems in Brown, Cohen and Strawderman.
sequential tests, hypothesis testing, Bayes test, exponentially bounded stopping times, exponential family
Berk, R. H., Brown, L. D., & Cohen, A. (1981). Properties of Bayes Sequential Tests. The Annals of Statistics, 9 (3), 678-682. http://dx.doi.org/10.1214/aos/1176345473
Date Posted: 27 November 2017
This document has been peer reviewed.