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An estimation method for the excess over the bocndaries in the sprt and its applications

 

作者: Jaeheon Lee,   Changsoon Park,   Byungchun Kim,  

 

期刊: Sequential Analysis  (Taylor Available online 1994)
卷期: Volume 13, issue 2  

页码: 127-143

 

ISSN:0747-4946

 

年代: 1994

 

DOI:10.1080/07474949408836299

 

出版商: Marcel Dekker, Inc.

 

关键词: Sample number;Operating characteristic function;Average sample number;Delta method;Brownian motion process

 

数据来源: Taylor

 

摘要:

Since Wald developed the sequential probability ratio test, many studies have been done to approximate the characteristics of the test. One of the major efforts among them is to approximate the excess over the boundaries used in the test. In this paper the excess is approximated as a simple function of the parameter to be tested by using the condition of the test statistic immediately before the stopping time in normal and exponential cases. The use of the estimated excess shows good performances in estimating the operating characteristic function, the average sample number, and the probability mass function of the sarnple number. It also make it possible to determine the boundary values which can give the error probabilities close to the desired ones.

 

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