degenerate-generalized likelihood ratio test for one-sided composite hypothesesdegenerate-generalized似然比检测的复合假设.pdfVIP

Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2012, Article ID 538342, 11 pages doi:10.1155/2012/538342 Research Article Degenerate-Generalized Likelihood Ratio Test for One-Sided Composite Hypotheses Dongdong Xiang, Xiaolong Pu, Lei Wang, and Yan Li School of Finance and Statistics, East China Normal University, Shanghai 200241, China Correspondence should be addressed to Yan Li, yli@ Received 19 January 2012; Revised 26 March 2012; Accepted 20 April 2012 Academic Editor: Ming Li Copyright q 2012 Dongdong Xiang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We propose the degenerate-generalized likelihood ratio test DGLRT for one-sided composite hypotheses in cases of independent and dependent observations. The theoretical results show that the DGLRT has controlled error probabilities and stops sampling with probability 1 under some regularity conditions. Moreover, its stopping boundaries are constants and can be easily determined using the provided searching algorithm. According to the simulation studies, the DGLRT has less overall expected sample sizes and less relative mean index RMI values in comparison with the sequential probability ratio test SPRT and double sequential probability ratio test 2-SPRT. To illustrate the application of it, a real manufacturing data are analyzed. 1. Introduction Consider the following hypotheses test problem: H0 : θ ≤ θ0 versus H1 : θ ≥ θ1 θ0 θ1 1.1 with the error constraints Pθ accept H1