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- W2037972680 abstract "We are motivated by Stein's proof (Stein (1946), Wald (1947), pages 157-158) of the termination of a sequential probability ratio test in the case of independent and identically distributed random variables. Extending his ideas to take certain dependencies into account we examine the rank-order sequential probability ratio test based on a Lehmann alternative studied in a paper with the above title by I. R. Savage and the author (1966) (referred to as SS I in the rest of this paper). We prove that this test terminates with probability one and that the stopping time has a finite moment generating function under a very mild condition on the bivariate random variables which resembles the Stein-condition, namely that a certain random variable $V(X_1, Y_1)$, defined in (32), is not identically equal to 0. Finally the asymptotic normality of the logarithm of the likelihood ratio of the rank order is established using the well-known Chernoff-Savage Theorem." @default.
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- W2037972680 date "1966-10-01" @default.
- W2037972680 modified "2023-09-26" @default.
- W2037972680 title "Stopping Time of a Rank-Order Sequential Probability Ratio Test Based on Lehmann Alternatives" @default.
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- W2037972680 doi "https://doi.org/10.1214/aoms/1177699261" @default.
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