Geodesic
Optimal information usage in binary sequential hypothesis testing
Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 1, pp. 93-105

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An interesting question is whether an information theoretic interpretation can be given of optimal algorithms in sequential hypothesis testing. We prove that for the binary sequential probability ratio test of a continuous observation process, the mutual information between the observation process up to the decision time and the actual hypothesis conditioned on the decision variable is equal to zero. This result can be interpreted as an optimal usage of the information on the hypothesis available in the observations by the sequential probability ratio test. As a consequence, the mutual information between the random decision time of the sequential probability ratio test and the actual hypothesis conditioned on the decision variable is also equal to zero.
Keywords: sequential hypothesis testing, sequential probability ratio test, mutual information. 
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     title = {Optimal information usage in binary sequential hypothesis testing},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     publisher = {mathdoc},
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     number = {1},
     year = {2023},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2023_68_1_a5/}
}
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M. Dörpinghaus; I. Neri; E. Roldán; F. Jülicher. Optimal information usage in binary sequential hypothesis testing. Teoriâ veroâtnostej i ee primeneniâ, Tome 68 (2023) no. 1, pp. 93-105. http://geodesic.mathdoc.fr/item/TVP_2023_68_1_a5/