Some Almost-sure Convergence Properties Useful in Sequential Analysis

@inproceedings{Kim2005SomeAC,
  title={Some Almost-sure Convergence Properties Useful in Sequential Analysis},
  author={Seong-Hee Kim and Barry L. Nelson and James R. Wilson},
  year={2005}
}
Kim and Nelson propose sequential procedures for selecting the simulated system with the largest steady-state mean from a set of alternatives that yield stationary output processes. Each procedure uses a triangular continuation region so that sampling stops when the relevant test statistic first reaches the region’s boundary. In applying the generalized continuous mapping theorem to prove the asymptotic validity of these procedures as the indifference-zone parameter tends to zero, we are given… CONTINUE READING
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