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On a direct method of analysis and synthesis of the SPRT

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1 Author(s)

The behavior of the sequential probability ratio test (SPRT) can be described using four performance measures, i.e., the probabilities of both types of error \alpha _{0}, \alpha _{1} , and the average test lengths (or sample sizes) E_{0}, E_{1} for the given decision problem. Whereas Bayes optimality of the SPRT is well-known from the work of Wald and Wolfowitz, there is no method to evaluate the performance measures except for Wald's approximations. We present a method to evaluate the performance measures given the thresholds of the SPRT.

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IEEE Transactions on Information Theory  (Volume:28 ,  Issue: 6 )