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Biometrika 1987 74(3):625-630; doi:10.1093/biomet/74.3.625
© 1987 by Biometrika Trust
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A simple way to construct a two-sample sequential confidence interval

MARA TABLEMAN

Division of Statistics, Northern Illinois University DeKalb, Illinois 60115-2888, U.S.A.

A simple and general method for constructing a bounded length sequential interval for the difference in population medians, having coverage probability approximately equal to a preassigned value 1 – 2{alpha}, is presented. The two-sample interval is obtained from two sequential one-sample bounded length intervals by subtracting the endpoints of one from the opposite endpoints of the other. The method is an extension of Geertsema's (1970) formulation for the one-sample problem. The main result shows that the sequential procedure is asymptotically efficient and consistent in the sense of Chow & Robbins (1965). Procedures based on the one-sample sign and Wilcoxon signed rank statistics are presented.

Key Words: Bounded length confidence interval • Sequential procedure • Sign statistic • Wilcoxon signed rank statistic


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