Title :
Robustness of sequential probability ratio tests in case of nuisance parameters
Author :
Eger, Karl-Heinz ; Tsoy, Evgeni Borisovich
Author_Institution :
Dept. of Math., Chemnitz Univ. of Technol., Chemnitz
Abstract :
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.
Keywords :
function approximation; probability; sampling methods; statistical testing; average sample number function; conjugated parameter pair Wald-like approximation; nuisance parameter; operating characteristic function; sequential probability ratio test; Chemical technology; Density functional theory; Error probability; Gaussian distribution; Mathematics; Paper technology; Random variables; Robustness; Sequential analysis; Testing;
Conference_Titel :
Strategic Technologies, 2008. IFOST 2008. Third International Forum on
Conference_Location :
Novosibirsk-Tomsk
Print_ISBN :
978-1-4244-2319-4
Electronic_ISBN :
978-1-4244-2320-0
DOI :
10.1109/IFOST.2008.4602972
