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Activity Number:
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627
- Advances in Stochastics and Distribution Theory
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2018 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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Abstract #328846
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Title:
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A Sequential Probability Ratio Test for Higher Criticism
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Author(s):
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Wenhua Jiang* and Cun-Hui Zhang
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Companies:
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Fudan University and Rutgers University
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Keywords:
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Sequential probability ratio test;
higher criticism;
nonlinear renewal theory;
test of power one
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Abstract:
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We propose a sequential probability ratio test (SPRT) for the higher criticism problem. The SPRT was proposed by Wald during the World War II. Our procedure is a one-sided SPRT (Robbins, 1970). The procedure attains the optimal detection boundary in higher criticism. We derive an approximation for the size of the test. It turns out that the type I error of the test is always below the nominal significant level.
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Authors who are presenting talks have a * after their name.
