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Theory of Probability and Mathematical Statistics



Robustness of sequential hypotheses testing for heterogeneous independent observations

A. Yu. Kharin, T. T. Tu

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Abstract: The problem of robustness for truncated sequential tests of two simple hypotheses is considered for the model of heterogeneous independent observations under distortions. An approach for performance characteristics calculation is proposed. Asymptotic analysis of robustness is performed. A family of robustified sequential tests is constructed. Numerical examples illustrate the theoretical results.

Keywords: Truncated sequential test, heterogeneous observations, distortions, robustness, error probabilities, expected sample size.

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