Author | Siegmund, David. author |
---|---|

Title | Sequential Analysis [electronic resource] : Tests and Confidence Intervals / by David Siegmund |

Imprint | New York, NY : Springer New York : Imprint: Springer, 1985 |

Connect to | http://dx.doi.org/10.1007/978-1-4757-1862-1 |

Descript | XI, 274 p. online resource |

SUMMARY

The modern theory of Sequential Analysis came into existence simultaneously in the United States and Great Britain in response to demands for more efficient sampling inspection procedures during World War II. The developยญ ments were admirably summarized by their principal architect, A. Wald, in his book Sequential Analysis (1947). In spite of the extraordinary accomplishments of this period, there remained some dissatisfaction with the sequential probability ratio test and Wald's analysis of it. (i) The open-ended continuation region with the concomitant possibility of taking an arbitrarily large number of observations seems intolยญ erable in practice. (ii) Wald's elegant approximations based on "neglecting the excess" of the log likelihood ratio over the stopping boundaries are not especially accurate and do not allow one to study the effect oftaking observaยญ tions in groups rather than one at a time. (iii) The beautiful optimality property of the sequential probability ratio test applies only to the artificial problem of testing a simple hypothesis against a simple alternative. In response to these issues and to new motivation from the direction of controlled clinical trials numerous modifications of the sequential probability ratio test were proposed and their properties studied-often by simulation or lengthy numerical computation. (A notable exception is Anderson, 1960; see III.7.) In the past decade it has become possible to give a more complete theoretical analysis of many of the proposals and hence to understand them better

CONTENT

I Introduction and Examples -- II The Sequential Probability Ratio Test -- III Brownian Approximations and Truncated Tests -- IV Tests with Curved Stopping Boundaries -- V Examples of Repeated Significance Tests -- VI Allocation of Treatments -- VII Interval Estimation of Prescribed Accuracy -- VIII Random Walk and Renewal Theory -- IX Nonlinear Renewal Theory -- X Corrected Brownian Approximations -- XI Miscellaneous Boundary Crossing Problems -- Appendix 1 Brownian Motion -- Appendix 2 Queueing and Insurance Risk Theory -- Appendix 3 Martingales and Stochastic Integrals -- Appendix 4 Renewal Theory -- Bibliographical Notes -- References

Statistics
Probabilities
Statistics
Statistical Theory and Methods
Probability Theory and Stochastic Processes