1. MOMENTS OF THE DISTRIBUTION OF SAMPLE SIZE IN A SPRT.
- Author
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Ghosh, B. K.
- Subjects
- *
MOMENTS method (Statistics) , *STATISTICAL sampling , *ARITHMETIC , *DISTRIBUTION (Probability theory) , *DIFFERENTIABLE functions , *PROBABILITY theory , *APPROXIMATION theory , *EQUATIONS , *STATISTICS - Abstract
The article discusses moments of the distribution of sample size, N in a sequential probability ratio test (SPRT). The present paper provides variance, the third and the fourth moments of N. The details are worked out in five common applications of the SPRIT. The relation of the variance of N to the truncation of a SPRT is discussed is also discussed in the paper. Scholar A. Wald indicated in passing how one can obtain the moments of N, but the only published literature where the author encountered a general expression for the variance of N. However, their expression is incorrect. Using scholar J. Wolfowitz's results, which they do, or differentiating Wald's, fundamental identity twice one gets provided. In many practical applications of the SPRT, μ and moments in an equation derived are differentiable functions of a real-valued parameter. The limiting expressions for the moments can then be determined by standard methods of mathematical analysis. However, for the third and fourth moments the actual technique may involve an excessive amount of arithmetic.
- Published
- 1969
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