Optimal Multistage Sampling in a Boundary-Crossing Problem

DOI10.1080/07474940500452247MaRDI QIDQ3377993zbMATH OpenOpenAlexFDO

Authors Jay Bartroff

Publication date 29 March 2006

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.2322

zbMATH Keywords

group sequential

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Sequential statistical analysis (62L10) Brownian motion (60J65)

Abstract: Brownian motion with known positive drift is sampled in stages until it crosses a positive boundary $a$. A family of multistage samplers that control the expected overshoot over the boundary by varying the stage size at each stage is shown to be optimal for large $a$, minimizing a linear combination of overshoot and number of stages. Applications to hypothesis testing are discussed.

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Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A Comparison of the Cost‐efficiencies of the Sequential, Group‐sequential, and Variable‐sample‐size‐sequential Probability Ratio Tests
• On Excess Over the Boundary
• Optimal sequentially planned decision procedures. With the assistance of Günter Duscha, Josef Lübbert and Thomas Meyerthole
• Sequential analysis. Tests and confidence intervals

Cited in

(4)

• A rejection principle for sequential tests of multiple hypotheses controlling familywise error rates
• Beyond boundaries: Gary Lorden’s groundbreaking contributions to sequential analysis
• Sequential Plans and Risk Evaluation
• Asymptotically optimal multistage tests of simple hypotheses

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