Multihypothesis sequential probability ratio tests. II. Accurate asymptotic expansions for the expected sample size

2000 ◽  
Vol 46 (4) ◽  
pp. 1366-1383 ◽  
Author(s):  
V.P. Dragalin ◽  
A.G. Tartakovsky ◽  
V.V. Veeravalli
Keyword(s):  
Sample Size ◽  
Asymptotic Expansions ◽  
Probability Ratio ◽  
Expected Sample Size ◽  
Sequential Probability Ratio Tests ◽  
Sequential Probability

Operating Characteristic and Expected Sample Size of a Sequential Probability Ratio Test for the Simple Exponential Distribution

1965 ◽  
Vol 14 (1-2) ◽  
pp. 65-73 ◽  
Author(s):  
M. Raghavachari
Keyword(s):  
Sample Size ◽  
Exponential Distribution ◽  
Operating Characteristic ◽  
Sequential Probability Ratio Test ◽  
Ratio Test ◽  
Probability Ratio ◽  
Expected Sample Size ◽  
Simple Alternative ◽  
Sequential Probability Ratio Tests ◽  
Sequential Probability

Summary For the problem of testing the simple hypothesis H : θ = θ1 against the simple alternative K : θ = θ2 with θ2 > θ1 , where θ is the unknown parameter of the simple exponential distribution, the familar Wald's Sequential Probability ratio test may be adopted. It is shown in the present paper that for a class of sequential probability ratio tests, exact expressions for the operating characteristic and the expected sample size can be given. The nature of the expected sample size function and the effect of Walo's approximations to the stopping bounds of the sequential probability ratio test are also studied.

scholarly journals Properties of Generalized Sequential Probability Ratio Tests

1976 ◽  
Vol 4 (2) ◽  
pp. 237-251 ◽  
Author(s):  
Bennett Eisenberg ◽  
B. K. Ghosh ◽  
Gordon Simons
Keyword(s):  
Probability Ratio ◽  
Sequential Probability Ratio Tests ◽  
Sequential Probability

scholarly journals The VPRT: A Sequential Testing Procedure Dominating the SPRT

1993 ◽  
Vol 9 (3) ◽  
pp. 431-450 ◽  
Author(s):  
Noel Cressie ◽  
Peter B. Morgan
Keyword(s):  
Sample Size ◽  
Decision Problem ◽  
Sequential Analysis ◽  
Testing Procedure ◽  
Sequential Probability Ratio Test ◽  
Ratio Test ◽  
Sequential Decision ◽  
Probability Ratio ◽  
Sampling Cost ◽  
Sequential Probability

Under more general assumptions than those usually made in the sequential analysis literature, a variable-sample-size-sequential probability ratio test (VPRT) of two simple hypotheses is found that maximizes the expected net gain over all sequential decision procedures. In contrast, Wald and Wolfowitz [25] developed the sequential probability ratio test (SPRT) to minimize expected sample size, but their assumptions on the parameters of the decision problem were restrictive. In this article we show that the expected net-gain-maximizing VPRT also minimizes the expected (with respect to both data and prior) total sampling cost and that, under slightly more general conditions than those imposed by Wald and Wolfowitz, it reduces to the one-observation-at-a-time sequential probability ratio test (SPRT). The ways in which the size and power of the VPRT depend upon the parameters of the decision problem are also examined.

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