Bayesian sequential composite hypothesis testing in discrete time
نویسندگان
چکیده
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in exponential family when observations are costly. In a Bayesian setting, can be embedded Markovian framework. Using conditional probability one as underlying spatial variable, we show that cost function is concave and posterior distribution becomes more concentrated time goes on. Moreover, monotonicity value function. For large class model specifications, non-decreasing time, optimal stopping boundaries thus monotone.
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ژورنال
عنوان ژورنال: Esaim: Probability and Statistics
سال: 2022
ISSN: ['1292-8100', '1262-3318']
DOI: https://doi.org/10.1051/ps/2022005