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A nonsymmetric sequential test

Author

Listed:
  • A. Irle
  • V. I. Lotov

Abstract

A one-sided testing problem based on an i.i.d. sample of observations is considered. The usual one-sided sequential probability ratio test would be based on a random walk derived from these observations. Here we propose a sequential test where the random walk is replaced by Lindley’s random walk which starts anew at zero as soon as it becomes negative. We derive the asymptotics of the expected sample size and the error probabilities of this sequential test. We discuss the advantages of this test for certain nonsymmetric situations. Copyright Springer-Verlag 2004

Suggested Citation

  • A. Irle & V. I. Lotov, 2004. "A nonsymmetric sequential test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 59(2), pages 137-146, May.
    • Handle: RePEc:spr:metrik:v:59:y:2004:i:2:p:137-146
    DOI: 10.1007/s001840300275
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    Cited by:

    1. Albrecht Irle & Vladimir Lotov, 2010. "On the properties of a multiple sequential test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 72(2), pages 189-198, September.

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