An approximation method for the characteristics of the sequential probability ratio test
作者:
Changsoon Park,
期刊:
Sequential Analysis
(Taylor Available online 1992)
卷期:
Volume 11,
issue 1
页码: 55-72
ISSN:0747-4946
年代: 1992
DOI:10.1080/07474949208836244
出版商: Marcel Dekker, Inc.
关键词: Operating Characteristic Function;Average Sample Number;Sequential Probability Ratio Test;Characteristic Function
数据来源: Taylor
摘要:
A new approximation method is proposed for calculating the operating characteristic function and the average sample number function of the sequential probability ratio test. This method conditions on the value of the test statistic immediately before the stopping time to produce mathematical formulas for the characteristics. An expression for the characteristic function of the stopping time is also obtained by this method. The values obtained by the proposed method are compared to a standard numerical method for the case where the underlying distribution is normal.
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