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A bound for higher moments of expected sample size in sequential testing

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  • Irle, A.

Abstract

The problem of sequentially testing two simple hypotheses is considered for i.i.d. observations. We give explicit lower bounds for the kth moments of the expected sample size for a sequential test with error probabilities [alpha] and [beta]. These bounds give the optimal asymptotic rate as [alpha], [beta] --> 0.

Suggested Citation

  • Irle, A., 1997. "A bound for higher moments of expected sample size in sequential testing," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 135-140, September.
  • Handle: RePEc:eee:stapro:v:35:y:1997:i:2:p:135-140
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