Error Probabilities and Average Sample Number of the Sequential Probability Ratio Test

Author(s):  
D. Siegmund
1989 ◽  
Vol 19 (7) ◽  
pp. 911-916 ◽  
Author(s):  
E. J. Dobesberger

A sequential decision plan based on Wald's sequential probability ratio test for the negative binomial distribution was derived for eastern hemlock looper (Lambdinafiscellariafiscellaria (Guen.)) egg populations in Newfoundland. An average sample number of not more than six midcrown branches was feasible, and both α and β error rates were defined. Monte Carlo simulation of operating characteristic and average sample number values for static and dynamic K of the negative binomial showed that Wald's sequential probability ratio test was acceptable. More eggs were found on midcrown balsam fir (Abiesbalsamea (L.) Mill.) branches than on other sampling substrates, such as ground mosses (mainly comprising Hylocomiumsplendens (Hedw.) B.S.G., Pleuroziumschreberi (Brid.) Mitt., and Ptiliumcrista-castrensis (Hedw.) De Not.), loose bark from paper birch (Betulapapyrifera Marsh.), and crown lichens (primarily Usnealongissima Ach.).


2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Müjgan Zobu ◽  
Vedat Sağlam

The control of traffic intensity is one of the important problems in the study of queueing systems. Rao et al. (1984) developed a method to detect changes in the traffic intensity in queueing systems of the and types based on the Sequential Probability Ratio Test (SPRT). In this paper, SPRT is theoretically investigated for two different phase-type queueing systems which consist of hyperexponential and mixed Erlang. Also, for testing against , Operating Characteristic (OC) and Average Sample Number (ASN) functions are obtained with numerical methods using multipoint derivative equations according to different situations of and type errors. Afterward, numerical illustrations for each model are provided with Matlab programming.


1983 ◽  
Vol 13 (6) ◽  
pp. 1197-1203 ◽  
Author(s):  
Gary W. Fowler

Monte Carlo operating characteristic (OC) and average sample number (ASN) functions were compared with Wald's OC and ASN equations for sequential sampling plans based on Wald's sequential probability ratio test (SPRT) using the binomial, negative binomial, normal, and Poisson distributions. This comparison showed that the errors inherent in Wald's equations as a result of "overshooting" the decision boundaries of the SPRT can be large. Relative errors increased for the OC and ASN equations as the difference between the null (θ0)) and alternative (θ1) test parameter values increased. Relative errors also increased for the ASN equation as the probabilities of type I (α) and type II (β) errors increased. For discrete distributions, the relative errors also increased as θ0 increased with θ1/θ0 fixed. Wald's equations, in general, overestimate the true error probabilities and underestimate the true ASN. For the values of θ0, θ1, α, and β used in many sequential sampling plans in forestry, Wald's equations may not be adequate. For those cases where the errors in Wald's equations are important compared with the other errors associated with the sampling plan, two alternative Monte Carlo OC and ASN functions are proposed.


2016 ◽  
Vol 31 (4) ◽  
Author(s):  
Alexey Kharin

The problem of robustifying of the sequential probability ratio test is considered for a discrete hypothetical model. Exact values for error probabilities and for conditional expected sample sizes are obtained. Asymptotic robustness analysis for these characteristics is performed under “contaminations”. A two-parametric family of modified sequential probability ratio tests is proposed and analyzed to get the robust test by the minimax risk criterion. Numerical experiments illustrate the theoretical results.


1985 ◽  
Vol 15 (2) ◽  
pp. 326-330
Author(s):  
Gary W. Fowler

Many sequential sampling plans used in forest sampling are composite three-decision plans based on the simultaneous use of two of Wald's sequential probability ratio tests (SPRTs). Wald's operating characteristic (OC) and average sample number (ASN) equations for each SPRT are used to describe the properties of the composite sampling plan. Wald's equations are only approximate because of "overshooting" of the decision boundaries of the SPRTs and the two SPRTs operate simultaneously in the composite plan. Wald's and Monte Carlo OC and ASN functions were developed for (i) two SPRTs used to develop a three-decision composite plan and (ii) the three-decision composite plan based on the negative binomial distribution. Wald's equations, in general, overestimate the true error probabilities and underestimate the true ASN for a given SPRT. Wald's equations are less accurate in describing the properties of the three-decision plan. Monte Carlo functions are more accurate than Wald's functions. Recommendations are made regarding the choice between Wald's and Monte Carlo functions. A Monte Carlo procedure to modify the decision boundaries of the plan to yield actual error probabilities approximately equal to the desired error probabilities is suggested.


2014 ◽  
Vol 43 (3) ◽  
pp. 195-203
Author(s):  
Alexey Kharin ◽  
Sergey Chernov

The problem of sensitivity analysis for the sequential probability ratio test under func- tional distortions of the observation probability distribution is considered. For the situa- tion where distorted densities of the log likelihood ratio statistic belong to ?-neighborhoods of hypothetical centers in the L1-metric the least favorable distributions that maximize the conditional error probabilities are constructed. The instability coefficient is obtained to enable robustness evaluation for the sequential probability ratio test and its modification – trimmed sequential probability ratio test. 


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