On the Wiener Process Approximation to Bayesian Sequential Testing Problems
Abstract
In 1959 Chernoff [7] initiated the study of the asymptotic theory of sequential Bayes tests as the cost of observation tends to zero. He dealt with the case of a finite parameter space. The definitive generalization of the line of attack initiated in that paper was given by Kiefer and Sacks in [13]. Their work as well as that of Chernoff, the intervening papers of Albert [1], Bessler [3], and Schwarz [19], and the subsequent work of the authors [4] used implicitly or explicitly the theory of large deviations and applied only to situations where hypothesis and alternative were separated or at least an indifference region was present.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1972
- Accession Number
- AD1022116
Entities
People
- J. A. Yahav
- P. J. Bickel
Organizations
- University of California, Berkeley