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Optimal UMP test for parameter in the exponential family

Optimal UMP test for parameter in the exponential family In this paper the problem of testing the one sided hypothesis θ ≤ θ0 in the exponential family against θ >θ0 is considered. By using stopping time, it is pointed out that under certain condition, the resulting test depending on the incomplete data is proved to be equivalent to the UMP test which depends on the full time spans of the instruments. Finally, the optimal stopping time, which generates the UMP test with level α and has the minimum total experiment time as well, is obtained. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Optimal UMP test for parameter in the exponential family

Acta Mathematicae Applicatae Sinica , Volume 10 (4) – Jul 15, 2005

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Publisher
Springer Journals
Copyright
Copyright © 1994 by Science Press
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02016327
Publisher site
See Article on Publisher Site

Abstract

In this paper the problem of testing the one sided hypothesis θ ≤ θ0 in the exponential family against θ >θ0 is considered. By using stopping time, it is pointed out that under certain condition, the resulting test depending on the incomplete data is proved to be equivalent to the UMP test which depends on the full time spans of the instruments. Finally, the optimal stopping time, which generates the UMP test with level α and has the minimum total experiment time as well, is obtained.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 15, 2005

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