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Consecutive Sequential Probability Ratio Tests of Multiple Statistical Hypotheses (1206.4007v1)
Published 18 Jun 2012 in math.ST, math.PR, and stat.TH
Abstract: In this paper, we develop a simple approach for testing multiple statistical hypotheses based on the observations of a number of probability ratios enumerated consecutively with respect to the index of hypotheses. Explicit and tight bounds for the probability of making wrong decisions are obtained for choosing appropriate parameters for the proposed tests. In the special case of testing two hypotheses, our tests reduce to Wald's sequential probability ratio tests.
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