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Fractional Brownian motion and clinical trials

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  • Dejian Lai
  • Barry Davis
  • Robert Hardy

Abstract

The purpose of this paper is to extend the widely used classical Brownian motion technique for monitoring clinical trial data to a larger class of stochastic processes, i.e. fractional Brownian motion, and compare these results. The beta-blocker heart attack trial is presented as an example to illustrate both methods.

Suggested Citation

  • Dejian Lai & Barry Davis & Robert Hardy, 2000. "Fractional Brownian motion and clinical trials," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(1), pages 103-108.
    • Handle: RePEc:taf:japsta:v:27:y:2000:i:1:p:103-108
    DOI: 10.1080/02664760021853
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    Citations

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    Cited by:

    1. Dejian Lai, 2010. "Group sequential tests under fractional Brownian motion in monitoring clinical trials," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 277-286, June.
    2. Lai, Dejian, 2004. "Estimating the Hurst effect and its application in monitoring clinical trials," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 549-562, April.
    3. Lai, Dejian & Danca, Marius-F., 2008. "Fractal and statistical analysis on digits of irrational numbers," Chaos, Solitons & Fractals, Elsevier, vol. 36(2), pages 246-252.

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