Geodesic
Optimal sequential multiple hypothesis tests
Kybernetika, Tome 45 (2009) no. 2, pp. 309-330

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This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.
Classification : 60G40, 62C10, 62L10, 62L15
Keywords: sequential analysis; hypothesis testing; multiple hypotheses; discrete-time stochastic process; dependent observations; optimal sequential test; Bayes sequential test 
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     author = {Novikov, Andrey},
     title = {Optimal sequential multiple hypothesis tests},
     journal = {Kybernetika},
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     url = {http://geodesic.mathdoc.fr/item/KYB_2009__45_2_a7/}
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Novikov, Andrey. Optimal sequential multiple hypothesis tests. Kybernetika, Tome 45 (2009) no. 2, pp. 309-330. http://geodesic.mathdoc.fr/item/KYB_2009__45_2_a7/