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
Research article (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