Efficient recursions for truncation of the sprt

Abstract

Existing methods for character izing truncated sequential probability rtio test are either a) conservative, in that they may produce a truncation point m that is larger than that neede to guarantee given α and β values; b) inefficient in that the computational effort needed to find m is proportional to m³ or c) subject ot considerable round off errors as m increases. We present an efficient recursive method for computing m that is linear in m, does no accumulate round off errors, and produces the mallest conservative value of m. An example is given for i.i.d normal observations.

Keywords:

• error probabilities
• log-likelihood ratio
• truncated
• SPRT
• truncation point
• Wald's bounds