Robustness of Sequential Probability Ratio Tests in Case of Nuisance Parameters

Description

This paper deals with the computation of OC- and ASN-function of sequential probability ratio tests in the multi-parameter case. In generalization of the method of conjugated parameter pairs Wald-like approximations are presented for the OC- and ASN-function. These characteristics can be used describing robustness properties of a sequential test in case of nuisance parameters.

As examples tests are considered for the mean and the variance of a normal distribution.

Links & Downloads

1. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-201000949
2. urn:nbn:de:bsz:ch1-201000949
3. http://www.qucosa.de/fileadmin/data/qucosa/documents/6019/data/Eger_Tsoy_Robustness_of_Sequential_Probability_Ratio_Tests_in_Case_of_Nuisance_Parameters.pdf
4. http://www.qucosa.de/fileadmin/data/qucosa/documents/6019/20100094.txt

Tags

ASN-function

Conjugated parameter pairs

Normal distribution

Nuisance parameters

OC-function

Robustness

Sequential analysis

Sequential probability ratio test

Sequential test

Wald approximations

ddc:500

ddc:600

Sequentieller Test

Statistischer Test

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa.de:bsz:ch1-201000949
Date	27 June 2010
Creators	Eger, Karl-Heinz, Tsoy, Evgeni Borisovich
Contributors	TU Chemnitz, Fakultät für Mathematik
Publisher	Universitätsbibliothek Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:preprint
Format	application/pdf, text/plain, application/zip