Sequential Analysis

Abraham Wald

Courier Corporation, Jun 10, 2004 - Mathematics - 212 pages

In 1943, while in charge of Columbia University's Statistical Research Group, Abraham Wald devised Sequential Design, an innovative statistical inference system. Because the decision to terminate an experiment is not predetermined, sequential analysis can arrive at a decision much sooner and with substantially fewer observations than equally reliable test procedures based on a predetermined number of observations. The system's immense value was immediately recognized, and its use was restricted to wartime research and procedures. In 1945, it was released to the public and has since revolutionized many aspects of statistical practice.
This book is Professor Wald's own description of the system. Part I contains a discussion of the general theory of the sequential probability ratio test, with comparisons to traditional statistical inference systems. Part II discusses applications that illustrate the general theory and raise points of theoretical interest specific to these applications. Part III outlines a possible approach to the problem of sequential multi-valued decisions and estimation. All three sections can be understood by readers with only a background in college algebra and a first course in calculus. Mathematical derivations of somewhat intricate nature appear in the appendix.
Sequential Analysis offers statistical researchers a time- and money-saving approach, introduces students to one of the major systems in contemporary use, and presents those already acquainted with the system with valuable background information.

Contents

• INTRODUCTION: 1
• SEQUENTIAL TEST OF A STATISTICAL: 22
• Chapter S THE SEQUENTIAL PROBABILITY RATIO TEST: 37
• OUTLINE OF A THEORY OF SEQUENTIAL: 70
• APPLICATION OF THE GENERAL THEORY: 88
• TESTING THE DIFFERENCE BETWEEN: 106
• DISTRIBUTION WITH KNOWN STANDARD DEVIATION: 117
• Chapter S TESTING THAT THE STANDARD DEVIATION: 125
• TESTING THAT THE MEAN OF A NORMAL: 134
• THE PROBLEM OF SEQUENTIAL ESTIMATION: 151
• APPENDIX: 157
• Upper and Lower Limits for the ASN Function of a Sequential: 170
• Derivation of Exact Formulas for the OC and ASN Functions: 181
• Approximate Distribution of n When z Is Normally Distributed: 191
• EFFICIENCY or THE SEQUENTIAL PROBABILITY RATIO TEST: 196
• DETERMINATION OF OPTIMUM WEIGHT FUNCTIONS wa6 AND wr6: 203
• INDEX: 209

Bibliographic information

• Title: Sequential Analysis; Dover phoenix editions; Phoenix Edition Series
• Author: Abraham Wald
• Edition: reprint
• Publisher: Courier Corporation, 2004
• ISBN: 0486439127, 9780486439129
• Length: 212 pages
• Subjects: Mathematics / Probability & Statistics / General