Statistics Papers

Document Type

Journal Article

Date of this Version

1978

Publication Source

The Annals of Statistics

Volume

6

Issue

3

Start Page

567

Last Page

581

DOI

10.1214/aos/1176344201

Abstract

The notion of Bahadur efficiency for test statistics is extended to the sequential case and illustrated in the specific context of testing one-sided hypotheses about a normal mean. An analog of Bahadur's theorem on the asymptotic optimality of the likelihood ratio statistic is seen to hold in the normal case. Some possible definitions of attained level for a sequential experiment are considered.

Keywords

Bahadur efficiency, Bahadur index, attained level, sequential test, stopping time

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Date Posted: 27 November 2017

This document has been peer reviewed.