Comparison of limit standards using a sequential probability ratio test

  • Authors:
  • Roy R. Creasey, Jr.;K. Preston White, Jr.

  • Affiliations:
  • Longwood University, Farmville, VA;University of Virginia, Charlottesville, VA

  • Venue:
  • Proceedings of the 38th conference on Winter simulation
  • Year:
  • 2006

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Abstract

We continue our research into the comparison, via simulation experiments, of a stochastic system to a limit standard. A limit standard is defined as a maximum and/or minimum standard. We have found that evaluation methods using proportions provide a statistically valid comparison of this family of standards. In this paper, we present the use of Wald's sequential probability ratio test (SPRT) as a comparison method. We define a fully sequential analysis procedure, as well as initial test results.