Nearly Minimax One-Sided Mixture-Based Sequential Tests

  title={Nearly Minimax One-Sided Mixture-Based Sequential Tests},
  author={Georgios Fellouris and Alexander G. Tartakovsky},
  journal={Sequential Analysis},
  pages={297 - 325}
Abstract We focus on one-sided, mixture-based stopping rules for the problem of sequential testing a simple null hypothesis against a composite alternative. For the latter, we consider two cases—either a discrete alternative or a continuous alternative that can be embedded into an exponential family. For each case, we find a mixture-based stopping rule that is nearly minimax in the sense of minimizing the maximal Kullback–Leibler information. The proof of this result is based on finding an… 
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