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A Stochastic process arising in sequential experimentation

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  • Stadje, W.

Abstract

Experiments are launched at every time instant , the times until completion being i.i.d. non-negative random variables Xn. We consider the process formed by the temporally ordered completion times. Formulas for its one- and two-dimensional marginal distributions are derived from which we obtain closed-form expressions for these distributions as well as for the inter-arrival time density in the case of exponential Xn.

Suggested Citation

  • Stadje, W., 1995. "A Stochastic process arising in sequential experimentation," Statistics & Probability Letters, Elsevier, vol. 23(4), pages 359-365, June.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:4:p:359-365
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    References listed on IDEAS

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    1. W. Stadje, 1990. "A continuous-time sequential testing problem," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 37(1), pages 281-290, December.
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