INFLUENCE OF DISTORTIONS IN THE L1AND C-METRICS ON THE ERROR PROBABILITIES FOR THE SEQUENTIAL PROBABILITY RATIO TEST
Abstract
The sequential probability ratio test (SPRT) is considered, when the actual probability distribution of observations is unknown and differs from the theoretical one, but belongs to its e-neighborhood in the L1or C-metric. The least favorable distribution (that maximizes the type I error probability of the SPRT) of observations is constructed for each metric and each e fixed in advance.
About the Authors
S. Yu. Charnou
Belarusian State University, Minsk
Belarus
Belarus
A. Yu. Kharin
Belarusian State University, Minsk
Belarus
Belarus
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