Robustness of the sequential probability ratio test for discrete contaminated data

Abstract: The problem of robustifying of the sequential probability ratio test is considered for a discrete hypothetical model. Exact values for error prob-abilities and for conditional expected sample sizes are obtained. Asymptotic robustness analysis for these characteristics is performed under “contamina-tions”. A two-parametric family of modified sequential probability ratio tests is proposed and analyzed to get the robust test by the minimax risk criterion. Numerical experiments illustrate the theoretical results