The Annals of Statistics
- Ann. Statist.
- Volume 4, Number 2 (1976), 281-291.
2-SPRT'S and The Modified Kiefer-Weiss Problem of Minimizing an Expected Sample Size
A simple combination of one-sided sequential probability ratio tests, called a 2-SPRT, is shown to approximately minimize the expected sample size at a given point $\theta_0$ among all tests with error probabilities controlled at two other points, $\theta_1$ and $\theta_2$. In the symmetric normal and binomial testing problems, this result applies directly to the Kiefer-Weiss problem of minimizing the maximum over $\theta$ of the expected sample size. Extensive computer calculations for the normal case indicate that 2-SPRT's have efficiencies greater than 99% regardless of the size of the error probabilities. Accurate approximations to the error probabilities and expected sample sizes of these tests are given.
Ann. Statist. Volume 4, Number 2 (1976), 281-291.
First available in Project Euclid: 12 April 2007
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Lorden, Gary. 2-SPRT'S and The Modified Kiefer-Weiss Problem of Minimizing an Expected Sample Size. Ann. Statist. 4 (1976), no. 2, 281--291. doi:10.1214/aos/1176343407. http://projecteuclid.org/euclid.aos/1176343407.