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Optimal sequential multiple hypothesis tests. (English) Zbl 1167.62453
Summary: This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.

MSC:
62L10 Sequential statistical analysis
62L15 Optimal stopping in statistics
62M07 Non-Markovian processes: hypothesis testing
62C10 Bayesian problems; characterization of Bayes procedures
62F15 Bayesian inference
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