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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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