Sequential probability ratio test

About: Sequential probability ratio test is a research topic. Over the lifetime, 1248 publications have been published within this topic receiving 22355 citations.

Exact boundaries in sequential testing for phase-type distributions

Abstract: We consider Wald's sequential probability ratio test for deciding whether a sequence of independent and identically distributed observations comes from a specified phase-type distribution or from an exponentially tilted alternative distribution. In this setting, we derive exact decision boundaries for given Type I and Type II errors by establishing a link with ruin theory. Information on the mean sample size of the test can be retrieved as well. The approach relies on the use of matrix-valued scale functions associated to a certain one-sided Markov additive process. By suitable transformations the results also apply to other types of distributions including some distributions with regularly varying tail.

An approximation method for the characteristics of the sequential probability ratio test

Abstract: A new approximation method is proposed for calculating the operating characteristic function and the average sample number function of the sequential probability ratio test. This method conditions on the value of the test statistic immediately before the stopping time to produce mathematical formulas for the characteristics. An expression for the characteristic function of the stopping time is also obtained by this method. The values obtained by the proposed method are compared to a standard numerical method for the case where the underlying distribution is normal.

A simple sequential criterion for testing a normal mean with unknown variance

Abstract: Simply fully sequential tests of the null hypothesis, μ=μoversus an alternative either of the form , are proposed for a normal population with mean y and unknown variance. Both tests are shown to terminate finitely with prob-ability one; other properties of the tests are discussed. Simu-lation is used to estimate the true error frequencies and average sample sizes of the tests and to compare the proposed one-sided.test with Bartlett' (1946) test.

Combined dynamic data analysis and process variable prediction approach for system fault detection

Abstract: A fault detection approach based on the combination of the Generalized Consistency Check and the Sequential Probability Ratio Test is developed and applied for validation of signals from process sensors. The basic methodology requires at least triple redundancy of a given measurement from like sensors and analytical measurements. The separate measurement of the signal mean value and the random fluctuation improves the reliability of fault identification and signal reconstruction. The diagnostics of the source of anomaly in a sub-system is performed by multivariate autoregressive modeling of the process signals and the analysis of resulting signatures.