On the distribution of a concomitant statistic in a sequential trial
作者:
Benjamin Yakir,
Benjamin Yakir,
期刊:
Sequential Analysis
(Taylor Available online 1997)
卷期:
Volume 16,
issue 3
页码: 287-294
ISSN:0747-4946
年代: 1997
DOI:10.1080/07474949708836388
出版商: Marcel Dekker, Inc.
关键词: Gaussian process;Integral equation;Stochastic integral;A stopping time
数据来源: Taylor
摘要:
In this paper the distribution of a concomitant statistic in a Gaussian sequential setting is characterized. It is shown that the distribution of such a statistic, conditional on the value of the stopping time, can be represented as a convolution of a normal random variable with a stochastic integral of the monitoring process of the trial. For continuous sequential designs the characteristic function of this stochastic integral is shown to satisfy an integral equation. The tools developed here are relevant for secondary inference problems in sequential clinical trials.
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