Optimal Multistage Sampling in a Boundary-Crossing Problem

DOI10.1080/07474940500452247zbMATH Open1085.62094arXiv1105.2322OpenAlexW2066168248MaRDI QIDQ3377993FDOQ3377993

Authors: Jay Bartroff 

Publication date: 29 March 2006

Published in: Sequential Analysis (Search for Journal in Brave)

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.

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

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zbMATH Keywords

group sequential

Mathematics Subject Classification ID

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

Cites Work

• Sequential analysis. Tests and confidence intervals
• Title not available (Why is that?)
• 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

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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