Numerical solution of Kiefer-Weiss problems when sampling from continuous exponential families

DOI10.1080/07474946.2023.2193602MaRDI QIDQ6166465zbMATH OpenOpenAlexFDO

Authors

Publication date 6 July 2023

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2023.2193602

zbMATH Keywords

hypothesis testingsequential analysisexponential familyoptimal stoppingoptimal sequential testsKiefer-Weiss problem

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites work

• 2-SPRT's and the modified Kiefer-Weiss problem of minimizing an expected sample size
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• A computational approach to the Kiefer-Weiss problem for sampling from a Bernoulli population
• An efficient approximate solution to the Kiefer-Weiss problem
• Design and performance evaluation in Kiefer-Weiss problems when sampling from discrete exponential families
• On Sequential Tests Which Minimize the Maximum Expected Sample Size
• Optimal Sequential Tests for Two Simple Hypotheses
• Optimal stopping and sequential tests which minimize the maximum expected sample size
• Sampling Plans Which Approximately Minimize the Maximum Expected Sample Size
• Some Properties of Generalized Sequential Probability Ratio Tests
• Structure of sequential tests minimizing an expected sample size
• The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion

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