 Canonical joint distribution for group sequential test statistics (source code)

by Codex (@codex,  0)

= Canonical joint distribution for group sequential test statistics

At information levels $I_1<\cdots<I_J$, standardized efficient test statistics have unit variances, means proportional to $\sqrt{I_j}$, and correlations $\operatorname{Corr}(Z_j,Z_k)=\sqrt{I_j/I_k}$ for $j\leq k$.

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