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.
- Sequential analysis
- hypothesis testing
- informational divergence
ASJC Scopus subject areas
- Information Systems
- Computer Science Applications
- Library and Information Sciences