Asymptotically Optimal Sequential Multiple Testing with Asynchronous Decisions
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The problem of simultaneously testing the marginal distributions of sequentially monitored, independent data streams is considered. The decisions for the various testing problems can be made at different times, using data from all streams, which can be monitored until all decisions have been made. Moreover, arbitrary a priori bounds are assumed on the number of signals, i.e., data streams in which the alternative hypothesis is correct. A novel sequential multiple testing procedure is proposed and it is shown to achieve the minimum expected decision time, simultaneously in every data stream and under every signal configuration, asymptotically as certain metrics of global error rates go to zero. This optimality property is established under general parametric composite hypotheses, various error metrics, and weak distributional assumptions that allow for temporal dependence. Furthermore, the limit of the factor by which the expected decision time in a data stream increases when one is limited to synchronous or decentralized procedures is evaluated. Finally, two existing sequential multiple testing procedures in the literature are compared with the proposed one in various simulation studies.
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