On the distribution of the decisive sample number of certain sequential tests

Abstract

SUMMARY It is shown that for some Wald-type sequential tests it is possible to approximate the distribution of N , the decisive sample number, on the basis of E(N) , E(N 2 ) and p 1 the probability that the test ends with just one observation. The method works when E(N) is not large, which seems to mean less than about 20. Approximations to E(N) AND E(N 2 ) are examined since it might not be possible to obtain these quantities exactly.