Asymptotic Efficiencies of Sequential Tests
The Annals of Statistics · 1976 · Volume 4 · Issue 5
Abstract
Some concepts of relative and absolute efficiency for sequential tests are considered. These are sequential analogs of Hodges-Lehmann and Chernoff efficiencies. Using these criteria, several sequential tests for the mean of a normal distribution are evaluated. Among them are Wald's SPRT, Anderson's triangular boundary, Bayes and APO tests and a repeated significance test. Truncated versions of these tests are also considered. Asymptotic expressions for the (expected) stopping times and error rates are given.
Keywords
60G40, 62E20, 62F05, 62F20, 62L10, Anderson's boundaries, APO test, Asymptotic efficiency, Bayes sequential test, repeated significance test, sequential test, SPRT, truncated sequential test, Wiener process
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