一类渐近最优的截尾序贯检验

A CLASS OF ASYMPTOTICALLY AND OPTIMALLY CLOSED SEQUENTIAL TESTS

  • 摘要: 本文研究了一类截尾序贯检验的性质,发现在一定条件下,检验的平均样本量与检验显著性水平的对数的绝对值之比Eθτb/|logαb)|有一个渐近下界。对多参数指数族,我们证明了重复显著性检验使其Eθτb/|logαb)|的极限(当b→∞)达到上述下界,是渐近最优的。

     

    Abstract: Let X1, X2, … be a data sequence of i. i. d r. v.’ s with probability density function fx,θ),θ∈Θ.(Tn, n≥1) is a sequence of statistics for testing H0: θ∈Θ0 vs. H1: θ∈Θ1\triangleq \Theta-\Theta_0.. Let τb=inf(nm0: Tnb or nm) where b>0, 0<m0m<∞ depend on b. Then we can construct a closed sequential test of H0, which rejects H0 if and only if bb. In this paper, we prove that under certain conditions Eθτb/(-log (αb))) has an asymptotically lower bound as b→∞, where αb)= sup (Pθ(Tτbb) :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.

     

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