Multi-step variance minimization in sequential tests |
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| Authors: | Zheng Su Jiaqiao Hu Wei Zhu |
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| Institution: | (1) Genentech Inc, South San Francisco, CA 94080, USA;(2) Department of Applied Mathematics and Statistics, State University of New York, Stony Brook, NY 11794, USA |
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| Abstract: | We introduce a multi-step variance minimization algorithm for numerical estimation of Type I and Type II error probabilities
in sequential tests. The algorithm can be applied to general test statistics and easily built into general design algorithms
for sequential tests. Our simulation results indicate that the proposed algorithm is particularly useful for estimating tail
probabilities, and may lead to significant computational efficiency gains over the crude Monte Carlo method. |
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| Keywords: | Type I error Type II error Importance sampling Monte Carlo |
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