const_boundary: Constant boundary value given a boundary crossing probability...

In shinjaehyeok/SGLRT_paper: Sequential Generalized Likelihood Ratio Test for sub-psi Family Distributions

Description

const_boundary is used to compute the constant threshold for the sequential GLR-like test with the well-separated alternative space case.

Usage

const_boundary(alpha, d = NULL, nmax = NULL, nmin = 1L, m_upper = 1000L)

Arguments

alpha	An upper bound on the boundary crossing probability (positive numeric in [1e-16,0.5]).
d	Bregman divergence between the null and alternative spaces. Either d or nmax must be specified (default = NULL).
nmax	Upper bound on the target time interval of the test. If both d and nmax are provided, nmax will be ignored. (default = NULL)
nmin	Minimum sample size of the test (default = 1L).
m_upper	Upper bound on the grid-search for m (default = 1e+3L).

Value

Constant threshold for GLR-like statistic which makes the boundary crossing probability upper bounded by alpha based on Theorem 1.

Examples

const_boundary(0.05, .1)
const_boundary(0.025, 1e-3, m_upper = 100L)
const_boundary(0.025, nmax = 1e+4, m_upper = 100L)

shinjaehyeok/SGLRT_paper documentation built on Oct. 25, 2020, 8:11 a.m.