Inference after truncated one-sided sequential test

Yanhong Wu

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 10, 3076-3094

Abstract: Assume i.i.d. random variables {X1, …, Xn, …} follow the standard exponential family {dFθ(x) = exp(θx − c(θ))dF0(x)}. For the one-sided hypothesis test H0: θ = θ0 0 where c(θ0) = c(θ1), the truncated sequential probability ratio test stops at min (τ, T) where τ=inf{n>0:Sn=X1+⋯+Xn>b}$\tau =\inf \lbrace n>0: S_n=X_1+\cdots +X_n > b\rbrace$, and H0 is rejected if τ

Date: 2016
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DOI: 10.1080/03610926.2014.894768

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