cross_prob_varying_search: Calculate the upper bound on the boundary crossing...

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

Description

Time-varying threshold for the non-separation case.

Usage

cross_prob_varying_search(
  g_fun = NULL,
  exp_g_fun = NULL,
  k_max = 10000L,
  eta_upper = 2,
  eta_grid_size = 0.01
)

Arguments

g_fun	positive function on [1,∞) (R function object, default is NULL).
exp_g_fun	positive function on \mathbb{N} \times [1,∞) for the exponent term in the upper bound in Theorem 1 (R function object, default is NULL). Either g_fun or exp_g_fun must be non-null. If both are provided, exp_g_fun will be used.
k_max	Maximum numbers of summations. (positive integer, default = 1e+4L)
eta_upper	Upper bound on the grid-search for eta (default = 2).
eta_grid_size	Grid size for the grid-search for eta (default = 0.01).

Value

Grid-search result of the upper bound on the boundary crossing probability based on Theorem 1 for time-varying boundary.

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