const_boundary_cs: 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_cs is used to compute the constant threshold for the GLR-like confidence sequences with finite target time interval.

Usage

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

Arguments

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

Value

Constant threshold for GLR-like confidence sequence with level alpha based on Theorem 7.

Examples

const_boundary_cs(0.05, 1e+6)
const_boundary_cs(0.025, 1e+8, 1e+2, m_upper = 100L)

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