All Questions
Tagged with sequential-analysis mathematical-statistics
6 questions
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How to prove SPRT terminates with probability unity?
Can anyone provide me the easily explainable proof of 'SPRT terminates with probability unity'?
To be more specific- 'Prove that SPRT terminates with probability unity'
2
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1
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72
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How to explain these jump-discontinuities in the expected stopping time of a SPRT?
Suppose a sequential probability ratio test (SPRT) with $$\alpha=P(\text{Type I error})=P(\text{Type II error})=\beta = 10\%$$ is used to decide between $$\ H_0: p=1/2\quad\text{vs.}\quad H_1: p=b\,$$ ...
- 301
2
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0
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269
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Sequential testing of hypothesis
Let $\{X_n : n ≥ 1\}$ be a sequence of i.i.d random variables with common density $f_\theta(\cdot )$. Lets we want to test
\begin{eqnarray}
\begin{array}{cc}
H_0: & \theta=\theta_0 \\
H_1: & \...
- 1,339
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Average Sample Number using Page's CUSUM procedure?
I am trying reproduce the Table 1 results from the page 12 using the equation given the page 13.To access the journal article please click https://arxiv.org/pdf/math/0605322.pdf. The corresponding ...
- 335
2
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Just how bad is it to determine when to stop data collection based on the resulting CI?
Say I want to be $95\%$ sure of the mean $\bar X$, with a CI of size $2$ ($1$ in each direction).
The following is bad practice:
collect data until $1.96\frac{s}{\sqrt{n}}=1$.
What is the extent ...
- 339
0
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Closed form Pocock Rejection Region solution for joint MVN correlated RVs?
This is related to my previous question (link), but I have a simpler way of expressing it.
Suppose $ \left( \begin{array}{ccc} \ Z_1 \\ Z_2 \end{array} \right)$ follows a Bivariate standard normal ...
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