Note on stability estimation in sequential hypothesis testing
Applicationes Mathematicae, Tome 40 (2013) no. 1, p. 109-116.
We introduce a quantitative measure Δ of stability in optimal sequential testing of two simple hypotheses about a density of observations: f=f₀ versus f=f₁. The index Δ represents an additional cost paid when a stopping rule optimal for the pair (f₀,f₁) is applied to test the hypothesis f=f₀ versus a "perturbed alternative" f=f̃₁. An upper bound for Δ is established in terms of the total variation distance between f₁(X)/f₀(X) and f̃₁(X)/f₀(X) with X∼f₀.
Source:
Zbl
Classification : 62L10, 62G07 
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     author = {E. Gordienko and J. Ruiz de Ch\'avez and A. Garc{\'\i}a},
     title = {Note on stability estimation in sequential hypothesis testing},
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     pages = {109-116},
     volume = {40},
     number = {1},
     year = {2013},
     zbl = {an:1273.62190},
     language = {en},
     url = {https://geodesic-test.mathdoc.fr/item/APME_2013__40_1_279851/}
}
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E. Gordienko; J. Ruiz de Chávez; A. García. Note on stability estimation in sequential hypothesis testing. Applicationes Mathematicae, Tome 40 (2013) no. 1, p. 109-116. https://geodesic-test.mathdoc.fr/item/APME_2013__40_1_279851/