Consecutive Sequential Probability Ratio Tests of Multiple Statistical Hypotheses

2012/06/18 by Xinjia Chen, Chen, Xinjia
Mathematics · #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST) #math.PR #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1206.4007

29 pages, no figure; The main results of this paper have appeared in Proceedings of SPIE Conferences, Baltimore, Maryland, April 24-27, 2012

arxiv created 2012/06/18 · arxiv updated 2012/06/19

Abstract

In this paper, we develop a simple approach for testing multiple statistical hypotheses based on the observations of a number of probability ratios enumerated consecutively with respect to the index of hypotheses. Explicit and tight bounds for the probability of making wrong decisions are obtained for choosing appropriate parameters for the proposed tests. In the special case of testing two hypotheses, our tests reduce to Wald's sequential probability ratio tests.

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