Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)
- Volume 9 Issue 2
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- Pages.23-27
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- 1984
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- 1225-1119(pISSN)
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- 2733-4759(eISSN)
A Note on the Optimum Character of One-Sided Sequential Probability Ratio Tests
- Abel, Volker (Department of Computer Science, University of the Federal Armed Forces Munich, Neubiberg, Federal Republic of Germany)
- Published : 1984.10.01
Abstract
We Observe a sequence of i. i. d random variables with density f or g. Only if g is true we should stop the process. Hence. the testing problem is completely described by a stopping time. Among all stopping times with error probability of first kind not exceeding a given bound, the one-sided sequential probability ratio test has smallest expected sample size if g is true. Moreover, the generalized one-sided SPRT has smallest expected sample size for g in the class of stopping times with expected sample size under f not falling below a given bound.
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