Past exam of the mathematics course of the University of Cambridge 2003 iii Paper 40 3 i 2 Solution 2026-10-14
A classical sequential probability ratio test addresses a fixed-start choice between two simple statistical hypotheses. It sums log-likelihood ratio increments until an upper boundary accepts the alternative or a lower boundary accepts the null; it then terminates that test. A CUSUM instead monitors indefinitely for a change at an unknown time. Its reset at zero discards sustained evidence from a previously satisfactory period, so a late change need not first undo all earlier negative scores. An upper boundary signals when the accumulated change evidence is sufficiently large.
A fast initial response CUSUM takes , often , in place of a zero start. Until its first reset or signal, it acts like a fixed-start sequential probability ratio test with a lower boundary at and an upper boundary at for the subsequent cumulative increments. Upon reaching the lower boundary it resets and continues as an ordinary CUSUM. The head start gives faster detection if a change is already present when monitoring begins or restarts. It is useful after an intervention, a shutdown or a previous alarm when immediate renewed surveillance is desired. Its initial false-alarm behavior differs from the zero-start scheme, so the head start and signalling boundary must be calibrated together; the preceding numerical choice is a design convention, not a universal optimum.
Sequential probability ratio test 2026-10-14
A sequential probability ratio test accumulates the log-likelihood ratio for two specified simple statistical hypotheses until it reaches an upper or lower boundary. An upper crossing favors the alternative, a lower crossing favors the null, and observations continue between them. Error-calibrated boundaries are approximately and ; discrete overshoot means these approximations need calibration.
Statistical hypothesis 2026-10-14
A statistical hypothesis is a specified set of possible data-generating probability distributions, usually expressed as a restriction on model parameters. A simple statistical hypothesis specifies one distribution; a composite statistical hypothesis permits several. A hypothesis test compares a null hypothesis with an alternative hypothesis using a statistic calibrated under the null.