A Note on the Variance and Higher Central Moments of the Stopping Time of an SPRT
研究了序贯概率比检验停止时间的极限分布和矩收敛，提出方差近似公式，并与蒙特卡洛结果和已有近似比较，在正态均值检验中表现良好。
Results are obtained on the limiting distribution and corresponding moment convergence for the (normalized) stopping time of an SPRT, as the boundaries of the continuation region become infinite. These asymptotic results suggest a certain approximation for the variance of the stopping time, which is compared with some Monte Carlo results of Cox and Roseberry (1966) and an approximation due to Ghosh (1969), in the case of testing a normal mean with known variance. The approximation appears to be good provided that the mean of the log-likelihood ratio is not too close to zero.