Locally Most Powerful Sequentially Planned Tests in Continuous Time

摘要

In this article we study the problem of finding a locally most powerful sequentially planned test in a one-sided sequentially planned testing problem for stochastic processes of the exponential class with continuous time parameter, thereby applying the theory of optimal sampling in continuous time (cf. Roters, 1995b, 1997). The theory presented here extends the discrete-time results of Berk (1975) and Schmitz (1993).