On the Wiener Process Approximation to Bayesian Sequential Testing Problems
UNIVERSITY OF CALIFORNIA, BERKELEY BERKELEY United States
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In 1959 Chernoff 7 initiated the study of the asymptotic theory of sequential Bayes tests as the cost of observation tends to zero. He dealt with the case of a finite parameter space. The definitive generalization of the line of attack initiated in that paper was given by Kiefer and Sacks in 13. Their work as well as that of Chernoff, the intervening papers of Albert 1, Bessler 3, and Schwarz 19, and the subsequent work of the authors 4 used implicitly or explicitly the theory of large deviations and applied only to situations where hypothesis and alternative were separated or at least an indifference region was present.
- Statistics and Probability