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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