Asymptotic efficiency of a sequential multihypothesis test

  • Authors:

  • V. V. Veeravalli;C. W. Baum

  • Affiliations:

  • Dept. of Electr. & Comput. Eng., Rice Univ., Houston, TX;-

  • Venue:
  • IEEE Transactions on Information Theory - Part 2
  • Year:
  • 1995

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Abstract

A sequential multihypothesis test known as the M-ary sequential probability ratio test (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