Sequential probability ratio test for many simple hypotheses on parameters of time series with trend

Abstract

The problem of sequential test for many simple hypotheses on parameters of time series with trend is considered. Two approaches, including M-ary sequential probability ratio test and matrix sequential probability ratio test are used for constructing the sequential test. The sufficient conditions of finite terminations of the test and the existence of finite moments of their stopping times are given. The upper bounds for the average numbers of observations are obtained. With the thresholds chosen suitably, these tests can belong to some specified classes of statistical tests. Numerical examples are presented.