Bahadur optimality of sequential experiments for exponential families

DOI10.1214/AOS/1176346808MaRDI QIDQ2266557zbMATH OpenOpenAlexFDO

Authors Stavros Kourouklis

Publication date 1984

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346808

zbMATH Keywords

asymptotic optimalityBahadur efficiencygeneral hypotheses for exponential familieslikelihood ratio statisticstopping times

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic properties of parametric tests (62F05) Sequential statistical analysis (62L10)

Review text

The concept of Bahadur efficiency was extended to sequential analysis by \textit{R. M. Berk} and \textit{L. D. Brown} [ibid. 6, 567-581 (1978; Zbl 0403.62055)] who showed optimality of certain modifications of the likelihood ratio statistic for one-sided hypotheses about the mean of a normal distribution. In this paper, the result of Berk and Brown is generalized to general hypotheses for exponential families.

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