Asymptotic Efficiency of A Sequential Multihypothesis Test

Research output: Contribution to journalArticle

Abstract

A sequential multihypothesis test known as the MSPRT is generalized to account for nonuniform decision costs. Bounds on error probabilities and asymptotic expressions for the stopping time and error probabilities are given. A key result of this correspondence is a proof that the generalized MSPRT is asymptotically efficient.

Original languageEnglish (US)
Pages (from-to)1994-1997
Number of pages4
JournalIEEE Transactions on Information Theory
Volume41
Issue number6
DOIs
StatePublished - Nov 1995

Keywords

  • Sequential analysis
  • hypothesis testing
  • informational divergence

ASJC Scopus subject areas

  • Information Systems
  • Computer Science Applications
  • Library and Information Sciences

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