Truncated sprt for non-stationary processes: sensitivity of assumptions

Abstract

There is little literature on the truncated SPRT when observations have distribution parameters that change over time. We develop a truncated SPRT when the observations come from a Normal distribution with parameters that linearly increase over time. The truncation point, specified in advance, gives error probabilities within desired limits. The method is developed for two different assumptions about the non stationary observations i) the observations are independent and ii) the differences between successive observations are independent. The sensitivity of results to these assumptions is studied.

Keywords:

• Log-likelihood ratio
• independent increments
• independent observations