Generalization of sequential Wald's test for more than two hypotheses

Authors:
Boris Darkhovsky
Affiliations:
Institute for Systems Analysis RAS, Department of of Macrosystems Dynamics, Moscow, Russia
Venue:
MACMESE'10 Proceedings of the 12th WSEAS international conference on Mathematical and computational methods in science and engineering
Year:
2010

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Abstract

The sequential testing problem for more than two simple hypotheses is considered. Generalization of classical Wald's procedure is proposed. It is proved that the procedure minimizes the greatest average run length in the assumption of validity of any hypothesis among all sequential decision rules with given constraints on the greatest error probabilities. The received results pass to the classical ones for the case of two simple hypotheses sequential testing problem.