Some Improvements in Setting Limits for the Expected Number of Observations Required by a Sequential Probability Ratio Test
Wald, Abraham
Ann. Math. Statist., Tome 17 (1946) no. 4, p. 466-474 / Harvested from Project Euclid
Upper and lower limits for the expected number $n$ of observations required by a sequential probability ratio test have been derived in a previous publication [1]. The limits given there, however, are far apart and of little practical value when the expected value of a single term $z$ in the cumulative sum computed at each stage of the sequential test is near zero. In this paper upper and lower limits for the expected value of $n$ are derived which will, in general, be close to each other when the expected value of $z$ is in the neighborhood of zero. These limits are expressed in terms of limits for the expected values of certain functions of the cumulative sum $Z_n$ at the termination of the sequential test. In section 7 a general method is given for determining limits for the expected value of any function of $Z_n$.
Publié le : 1946-12-14
Classification: 
@article{1177730885,
     author = {Wald, Abraham},
     title = {Some Improvements in Setting Limits for the Expected Number of Observations Required by a Sequential Probability Ratio Test},
     journal = {Ann. Math. Statist.},
     volume = {17},
     number = {4},
     year = {1946},
     pages = { 466-474},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177730885}
}
Wald, Abraham. Some Improvements in Setting Limits for the Expected Number of Observations Required by a Sequential Probability Ratio Test. Ann. Math. Statist., Tome 17 (1946) no. 4, pp.  466-474. http://gdmltest.u-ga.fr/item/1177730885/