SPRT (version 1.0)

SPRT-package: The SPRT package

Description

Perform Wald's Sequential Probability Ratio Test on variables with a Normal, Bernoulli, Exponential and Poisson distribution. Plot acceptance and continuation regions, or create your own with the help of closures.

Details

Package:

SPRT

Type:

Package

Version:

1.0

Date:

2015-04-13

License:

BSD_3_clause + file LICENSE

References

Ghosh, B.K. and Sen, P.K. (1991). Handbook of Sequential Analysis, Marcel Dekker, New York. Wald, A. (1947). Sequential Analysis, Dover, New York.

Examples

# SPRT on a normally distributed random variable
set.seed(123)
test <- SPRT(distribution = "normal", type1 = 0.05, type2 = 0.20,
	h0 = 0, h1 = 1, values = rnorm(10))

# Test outcome
test

# Cum. sum of the random variable vs H0 and H1 boundaries
test$data.sum
plot(test)

# Log-likelihood ratio vs Wald's A and B boundaries
test$data.llr
plot(test, log = "y")

# Log-likelihood ratio across scalars or vectors
set.seed(123)
test$llr.fn(n = 10, sum(rnorm(10)))

set.seed(123)
test$llr.fn(n = seq(1,10,1), k = cumsum(rnorm(10)))

# H0 and H1 boundaries
test$h0.fn(n = seq(1,10,1))
test$h1.fn(n = seq(1,10,1))