Optimal sequential multiple hypothesis testing in presence of control variables

Title:

Optimal sequential multiple hypothesis testing in presence of control variables

Creator:

Novikov, Andrey

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:4b1cac89-098f-4190-b69a-34ec80d1491a
uuid:4b1cac89-098f-4190-b69a-34ec80d1491a

Subject:

sequential analysis, sequential hypothesis testing, multiple hypotheses, control variable, independent observations, optimal stopping, optimal control, optimal decision, optimal sequential testing procedure, Bayes, and sequential probability ratio test

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

Suppose that at any stage of a statistical experiment a control variable X that affects the distribution of the observed data Y at this stage can be used. The distribution of Y depends on some unknown parameter θ, and we consider the problem of testing multiple hypotheses H1:θ=θ1, H2:θ=θ2,…, Hk:θ=θk allowing the data to be controlled by X, in the following sequential context. The experiment starts with assigning a value X1 to the control variable and observing Y1 as a response. After some analysis, another value X2 for the control variable is chosen, and Y2 as a response is observed, etc. It is supposed that the experiment eventually stops, and at that moment a final decision in favor of one of the hypotheses H1,…, Hk is to be taken. In this article, our aim is to characterize the structure of optimal sequential testing procedures based on data obtained from an experiment of this type in the case when the observations Y1,Y2,…,Yn are independent, given controls X1,X2,…,Xn, n=1,2,….

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[507]-528

Source:

Kybernetika | 2009 Volume:45 | Number:3

Harvested from:

CDK

Metadata only:

false