Date of this Version
The Annals of Statistics
Consider the problem of sequentially testing the hypothesis that the mean of a normal distribution of known variance is less than or equal to a given value versus the alternative that it is greater than the given value. Impose the linear combination loss function under which the risk becomes a constant c, times the expected sample size, plus the probability of error. It is known that all admissible tests must be monotone--that is, they stop and accept if Sn, the sample sum at stage n, satisfies Sn≤an; stop and reject if Sn≥bn. In this paper we show that any admissible test must in addition satisfy bn−an≤2b¯(c). The bound 2b¯(c) is sharp in the sense that the test with stopping bounds an≡−b¯(c),bn≡b¯(c) is admissible.
As a consequence of the above necessary condition for admissibility of a sequential test, it is possible to characterize all sequential probability ratio tests (SPRT's) regarding admissibility. In other words necessary and sufficient conditions for the admissibility of an SPRT are given. Furthermore, an explicit numerical upper bound for b¯(c) is provided.
sequential tests, SPRT, admissibility, Wiener process
Brown, L. D., Cohen, A., & Samuel-Cahn, E. (1983). A Sharp Necessary Condition for Admissibility of Sequential Tests-- Necessary and Sufficient Conditions for Admissibility of SPRT'S. The Annals of Statistics, 11 (2), 640-653. http://dx.doi.org/10.1214/aos/1176346169
Date Posted: 27 November 2017
This document has been peer reviewed.