The `sprtt`

package is a **s**equential
**p**robability **r**atio
**t**ests **t**oolbox
(**sprtt**). This vignette describes the theoretical
background of these tests.

Other recommended vignettes cover:

a general guide, how to use the package and

an extended use case.

With a sequential approach, data is continuously collected and an analysis is performed after each data point, which can lead to three different results (A. Wald, 1945):

The data collection is

*terminated*because enough evidence has been collected for the null hypothesis (H_{0}).The data collection is

*terminated*because enough evidence has been collected for the alternative hypothesis (H_{1}).The data collection

*will continue*as there is not yet enough evidence for either of the two hypotheses.

Basically it is not necessary to perform an analysis after each data point β several data points can also be added at once. However, this affects the sample size (N) and the error rates (Schnuerch et al., 2020).

The efficiency of sequential designs has already been examined. Reductions in the sample by 50% and more were found in comparison to analyses with fixed sample sizes (Schnuerch et al., 2020; A. Wald, 1945). Sequential hypothesis testing is therefore particularly suitable when resources are limited because the required sample size is reduced without compromising predefined error probabilities.

The sequential *t*-test is based on the Sequential Probability
Ratio Test (SPRT) by Abraham Abraham Wald
(1947), which is a highly efficient sequential hypothesis test.
However, the usage of WaldΒ΄s SPRT is limited in the case of normally
distributed data, because the variance has to be known or specified in
the hypothesis. Rushton (1950; 1952) and
Hajnal (1961) have further developed the
SPRT using the *t*-statistic. The basic idea is to transform the
sequence of observations (which is dependent on the variance) into a
sequence of the associated *t*-statistic (which is
*in*dependent of the variance).

In the SPRT the null and alternative hypotheses are defined as follows, with π representing the model parameter :

\[ H_0:\ π\ =\ π_0 \\ H_1:\ π\ =\ π_1 \]

The test statistic of the SPRT is based on a likelihood ratio, which
is a measure of the relative evidence in the data for the given
hypotheses. More specifically, it is the ratio of the likelihood of the
alternative hypothesis to the likelihood of the null hypothesis at the
*m*-th step of the sampling process (LR_{m}).

\[ LR_{m} = \frac {f(data_m | H_1)} {f(data_m | H_0)} = \frac {π(x_1,...,x_m | π_1)} {π(x_1,...,x_m | π_0)} \]

Before the transformation into the *t*-statistic, the model
parameter π contains the parameters of a normal distribution: the mean
(*Β΅*) and the standard deviation (π). Therefore, the Wald SPRT
requires prior knowledge about the variance (π^{2}) or a
specification in the hypotheses.

After the transformation of the observed values into the associated
t-statistic, the model parameter π contains the parameters of the
non-central t-distribution: the degrees of freedom (*df*) and the
non-centrality parameter (π₯).

\[ {π(x_1,...,x_m | Β΅,π)} => {π(t_2,...,t_m | df,π₯)} \]

For the calculation of the degrees of freedom, only the sample size
of the group(s) is needed. The non-centrality parameter also requires a
specification of the expected effect size in form of Cohen`s d
(*d*).

To eventually calculate the LR of the sequential *t*-test,
only the current t_{m}-statistic is necessary. S. Rushton (1950) demonstrated that an SPRT can
be performed by simply considering the ratio of probability densities
for the most recent t_{m} statistic under the
alternative and null hypothesis at any *m-*th stage. Thus, the
test statistic for a one and two-sided sequential t-test can be
calculated as follows:

\[ LR_{m,\ one-sided\ sequential\ t-test} = \frac {π(t_m | π_1)} {π(t_m | π_0)} \\ LR_{m,\ two-sided\ sequential\ t-test} = \frac {π(t_m^2 | π_1)} {π(t_m^2 | π_0)}. \]

To account for the fact that the algebraic sign is unknown in a
two-sided test, the *t*-value is squared (S. Rushton, 1952).

After the calculation of the test statistic, the decision will be either to continue sampling or to terminate the sampling and accept one of the hypotheses. A. Wald (1945) defined the following rules for the SPRT:

Condition | Decision |
---|---|

LR_{m} β€ B |
accept H_{0} and reject H_{1} |

B < LR_{m} < A |
continue sampling |

LR_{m} β€ A |
accept H_{1} and reject H_{0} |

The A and B boundaries are calculated with the previously defined error rates πΌ (Type I error) and π½ (Type II error) as follows:

\[ A = \left( \frac{1 - π½}{πΌ} \right) \\ B = \left( \frac{π½}{1 - πΌ} \right). \]

In summary, three specifications are required to calculate a
sequential *t*-test:

the πΌ error probability (usually 0.05 or less),

the π½ error probability (usually .20 or less), and

CohenΒ΄s d (either as the expected effect size or as the lower limit for a substantial effect).

Hajnal, J. (1961). A two-sample sequential t-test. *Biometrika*,
*48*(1/2), 65β75. https://doi.org/10.2307/2333131

Rushton, S. (1950). On a sequential t-test. *Biometrika*,
*37*, 326β333. https://doi.org/10.2307/2332385

Rushton, S. (1952). On a Two-Sided Sequential
t-Test. *Biometrika*, *39*(3/4), 302. https://doi.org/10.2307/2334026

Schnuerch, M., Erdfelder, E., & Heck, D. W. (2020). Sequential
hypothesis tests for multinomial processing tree models. *Journal of
Mathematical Psychology*, *95*, 102326. https://doi.org/10.1016/j.jmp.2020.102326

Wald, A. (1945). Sequential tests of statistical hypotheses. *The
Annals of Mathematical Statistics*, *16*(2), 117β186.

Wald, Abraham. (1947). *Sequential analysis*. Wiley.