Bayesian Sequential Hypothesis Testing

Abstract

In this thesis, optimality results are presented for Bayesian problems of sequential hypothesis testing. Conditions are given which are sufficient to demonstrate the existence and optimality of threshold policies and others are given which help characterize these policies. The general results are applied to solve four specific problems in which the observations arise from a time-homogeneous diffusion, a progressive semi-martingale observed through a diffusion, a time-homogeneous Poisson process, and a predictable semi-martingale observed through a point process. It is shown that threshold policies are optimal in all four cases. Exact formulas for the Bayesian costs in the point process cases will be presented for the first time.

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Document Details

Document Type
Technical Report
Publication Date
Dec 05, 1986
Accession Number
ADA452159

Entities

People

  • David C. Mac Enany

Organizations

  • University of Maryland

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Communities of Interest

  • Materials and Manufacturing Processes

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Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Statistical inference.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference
  • AI & ML - Machine Learning Algorithms