A sequential multihypothesis test known as the M-ary sequential probability ratio test (MSPRT) is generalized to account for nonuniform decision costs. Bounds on error probabilities and asymptotic expressions for the stopping time and error probabilities are given. A key result of this correspondence is a proof that the generalized MSPRT is asymptotically efficient.
['Venugopal V. Veeravalli', 'Carl W. Baum']
Asymptotic efficiency of a sequential multihypothesis test