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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 1, Pages 3–15
DOI: https://doi.org/10.4213/tvp316 (Mi tvp316) 		 
Minimax Sequential Tests for Many Composite Hypotheses. II

B. E. Brodskii, B. S. Darhovsky

Central Economics and Mathematics Institute, RAS
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DOI: https://doi.org/10.4213/tvp316
Abstract: The problem of sequential testing of many composite hypotheses is considered. Each hypothesis is described by the density function of observations that depends on a parameter from one of disjoint sets. New performance measures for one-sided and multisided sequential tests are proposed and nonasymptotical a priori lower bounds for these measures are proved. Sequential tests are found which use a minimax procedure on parametric sets for sequential likelihood ratio and are asymptotically optimal: the a priori lower bounds for performance measures are attained for these tests. All proofs are in Part II.
Keywords: composite multihypothesis testing, sequential tests.
Received: 26.06.2006
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 1, Pages 1–12
DOI: https://doi.org/10.1137/S0040585X97983365
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Language: Russian
Citation: B. E. Brodskii, B. S. Darhovsky, “Minimax Sequential Tests for Many Composite Hypotheses. II”, Teor. Veroyatnost. i Primenen., 53:1 (2008), 3–15; Theory Probab. Appl., 53:1 (2009), 1–12
Citation in format AMSBIB
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