2-SPRT'S and The Modified Kiefer-Weiss Problem of Minimizing an Expected Sample Size
Lorden, Gary
Ann. Statist., Tome 4 (1976) no. 1, p. 281-291 / Harvested from Project Euclid
A simple combination of one-sided sequential probability ratio tests, called a 2-SPRT, is shown to approximately minimize the expected sample size at a given point $\theta_0$ among all tests with error probabilities controlled at two other points, $\theta_1$ and $\theta_2$. In the symmetric normal and binomial testing problems, this result applies directly to the Kiefer-Weiss problem of minimizing the maximum over $\theta$ of the expected sample size. Extensive computer calculations for the normal case indicate that 2-SPRT's have efficiencies greater than 99% regardless of the size of the error probabilities. Accurate approximations to the error probabilities and expected sample sizes of these tests are given.
Publié le : 1976-03-14
Classification:  Sequential probability ratio test,  Bayes solution,  asymptotic optimality,  62L10,  62F20
@article{1176343407,
     author = {Lorden, Gary},
     title = {2-SPRT'S and The Modified Kiefer-Weiss Problem of Minimizing an Expected Sample Size},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 281-291},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343407}
}
Lorden, Gary. 2-SPRT'S and The Modified Kiefer-Weiss Problem of Minimizing an Expected Sample Size. Ann. Statist., Tome 4 (1976) no. 1, pp.  281-291. http://gdmltest.u-ga.fr/item/1176343407/