Abstract:
Let
X1,
X2, … be a data sequence of i. i. d r. v.’ s with probability density function
f(
x,
θ),
θ∈Θ.(
Tn,
n≥1) is a sequence of statistics for testing
H0: θ∈Θ
0 vs.
H1: θ∈Θ
1\triangleq \Theta-\Theta_0.. Let
τb=inf(
n≥
m0:
Tn≥
b or
n≥
m) where
b>0, 0<
m0<
m<∞ depend on
b. Then we can construct a closed sequential test of
H0, which rejects
H0 if and only if
Tτb≥
b. In this paper, we prove that under certain conditions
Eθτb/(-log (
α(
b))) has an asymptotically lower bound as
b→∞, where
α(
b)= sup (
Pθ(
Tτb≥
b) :
θ∈Θ) is the significance level of the test. Especially for multi- dimensional exponential families, the Repeated Significance Test that leads to the lower bound is asymptotically optimal. Some asymptotically properties of the Fixed Sample Size Test are also obtained in this paper.