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