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Kybernetika 45(2):309-330, 2009.

Optimal Sequential Multiple Hypothesis Tests

Andrey Novikov


Abstract:

This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.


Keywords: sequential analysis; hypothesis testing; multiple hypotheses; discrete-time stochastic process; dependent observations; optimal sequential test; Bayes sequential test;


AMS: 62L10; 62L15; 60G40; 62C10;


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BIB TeX

@article{kyb:2009:2:309-330,

author = {Novikov, Andrey },

title = {Optimal Sequential Multiple Hypothesis Tests},

journal = {Kybernetika},

volume = {45},

year = {2009},

number = {2},

pages = {309-330}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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