Problem of the Week
Hilton Memorial Lecture
Department of Mathematical Sciences
|DATE:||Thursday, October 10, 2019|
|TIME:||1:15pm – 2:15pm|
|SPEAKER:||Yifeng Zeng, Binghamton University|
|TITLE:||Sequential probability ratio test and its performance in gaussian scenario|
In statistical hypothesis testing with a fixed sample size, uniformly most powerful (UMP) test is a hypothesis test which has the greatest power 1-beta among all possible tests of a given size α. For example, according to the Neyman–Pearson lemma, the likelihood-ratio test is UMP for testing simple (point) hypotheses. Sequential probability ratio test shares similar idea of the likelihood-ratio test but dealing with sequential data which means the sample size is not fixed. In this talk, we will introduce the general idea of SPRT and its performance under Gaussian scenario.