Sequential multiple hypothesis testing in presence of control variables

MaRDI QIDQ3637560zbMATH OpenFDO

Authors Andrey Novikov

Publication date 13 July 2009

Full work available at URL https://arxiv.org/abs/0812.2712, https://eudml.org/doc/37678, http://www.kybernetika.cz/content/2009/3/507

zbMATH Keywords

Bayessequential analysisoptimal controloptimal stoppingcontrol variablemultiple hypothesesoptimal decisionsequential probability ratio testsequential hypothesis testingindependent observationsoptimal sequential testing procedure

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Statistical decision theory (62C99) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)

Abstract: Suppose that at any stage of a statistical experiment a control variable $X$ that affects the distribution of the observed data $Y$ at this stage can be used. The distribution of $Y$ depends on some unknown parameter $heta$, and we consider the problem of testing multiple hypotheses $H_1:heta=het{a}_1$, $H_2:heta=het{a}_2,\mathrm{...}$, $H_k:heta=het{a}_k$ allowing the data to be controlled by $X$, in the following sequential context. The experiment starts with assigning a value $X_1$ to the control variable and observing $Y_1$ as a response. After some analysis, another value $X_2$ for the control variable is chosen, and $Y_2$ as a response is observed, etc. It is supposed that the experiment eventually stops, and at that moment a final decision in favor of one of the hypotheses $H_1,\mathrm{...}$, $H_k$ is to be taken. In this article, our aim is to characterize the structure of optimal sequential testing procedures based on data obtained from an experiment of this type in the case when the observations $Y_1,Y_2,\mathrm{...},Y_n$ are independent, given controls $X_1,X_2,\mathrm{...},X_n$, $n=1,2,\mathrm{...}$.

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Cited in

(5)

• A numerical approach to sequential multi-hypothesis testing for Bernoulli model
• Controlled sensing for sequential multihypothesis testing with controlled Markovian observations and non-uniform control cost
• Characterizations of optimal policies in a general stopping problem and stability estimating
• Optimal sequential procedures with Bayes decision rules
• Control of Directional Errors in Fixed Sequence Multiple Testing

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