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Eger, Karl-Heinz : Sequential tests for grouped observations

Eger, Karl-Heinz : Sequential tests for grouped observations

Author(s):
Eger, Karl-Heinz
Title:
Sequential tests for grouped observations
Preprint series:
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 16, 2005
Mathematics Subject Classification:
62F03 [ Hypothesis testing ]
62L10 [ Sequential analysis ]
Abstract:
This paper deals with sequential likelihood ratio tests based on grouped observations. It is demonstrated that the method of conjugated parameter pairs known from the non-grouped case can be extended to the grouped case obtaining Waldlike approximations for the OC- and ASN-function. The determination of optimal groupings is discussed. For near hypotheses so-called F-optimal groupings are recommended. As example an SPRT based on grouped observations for the parameter of an exponentially distributed random variable is considered. Corresponding F-optimal groupings are presented.
Keywords:
Hypotheses testing; likelihood ratio test; grouped observations; classified observations; optimal grouping; sequential analysis; sequential probability ratio test; OC-function; ASN-function; conjugate parameter pairs
Language:
English
Publication time:
10 / 2005