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A bound for higher moments of expected sample size in sequential testing

The problem of sequentially testing two simple hypotheses is considered for i.i.d. observations. We give explicit lower bounds for the kth moments of the expected sample size for a sequential test with error probabilities [alpha] and [beta]. These bounds give the optimal asymptotic rate as [alpha], [beta] --> 0.
Year of publication:
1997
Authors: Irle, A.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 35.1997, 2, p. 135-140
Publisher: Elsevier
Keywords: Sequential test Expected sample size Moments
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005223599
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