Bayesian Sequantially Planned Test of Simple Hypotheses: Contractivity and an Iterative Approach

Terveer I


Abstract
Bayesian sequentially planned tests of two simple hypotheses are discussed. We prove contractivity of an iterated operator associated to Bellman's equation and justify the policy improvement method. Finally, we consider epsilon-Bayes-tests and approximate the stopping bounds of the Bayesian SPPRT.

Keywords
Bayes rule; Bellman equation; contractive operators; Howard algorithm; policy improvement routine; sequentially planned tests; simple hypothesis testing



Publication type
Article in Journal

Peer reviewed
Yes

Publication status
Published

Year
1996

Journal
Sequential Analysis

Volume
15

Issue
2

Start page
91

End page
102

Language
English

ISSN
0747-4946