Sequential Hypothesis Testing: Multiple Simple Hypotheses

In this chapter we extend the results of Chapter 3 to the case of multiple hypotheses. Note, however, that we consider only a classical “classification-type” problem setting. This problem is to be distinguished from simultaneous/parallel testing multiple hypotheses, which is important in certain modern applications, e.g., in sequential clinical trials with multiple treatment groups and multiple endpoints (see [30, 111, 448]).