const_boundary_lorden: 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_lorden is used to compute the constant threshold for the sequential GLR test with the well-separated alternative space case.

Usage

const_boundary_lorden(alpha, d)

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 (positive numeric).

Value

Constant threshold for GLR-lik statistic which makes the boundary crossing probability upper bounded by alpha based on the Lorden's bound.

Examples

const_boundary_lorden(0.05, .1)
const_boundary_lorden(0.025, 1e-3)

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