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Dedicated to the memory of Professor Tze Leung Lai, this paper introduces three multi-hypothesis sequential tests. These tests are derived from one-sided versions of the sequential probability ratio test and its modifications. They are proven to be first-order asymptotically optimal for testing simple and parametric composite hypotheses when error probabilities are small. These tests exhibit near optimality properties not only in classical i.i.d. observation models but also in general non-i.i.d. models, provided that the log-likelihood ratios between hypotheses converge r-completely to positive and finite numbers. These findings extend the seminal work of Lai (1981) on two hypotheses.
Alexander G. Tartakovsky (Wed,) studied this question.