Bahadur optimality of sequential experiments for exponential families. (English) Zbl 0561.62071

The concept of Bahadur efficiency was extended to sequential analysis by R. M. Berk and L. D. Brown [ibid. 6, 567-581 (1978; Zbl 0403.62055)] who showed optimality of certain modifications of the likelihood ratio statistic for one-sided hypotheses about the mean of a normal distribution. In this paper, the result of Berk and Brown is generalized to general hypotheses for exponential families.
Reviewer: A.Irle


62L10 Sequential statistical analysis
62F05 Asymptotic properties of parametric tests
60F10 Large deviations


Zbl 0403.62055
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