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Let x₁, x₂, be independent random variables which under P_ have probability density function of the form P_\xₖ dx\ = (x - () ) dH (x), where is normalized so that (0) = ' (0) = 0. Let a 0 0 is defined by (w) = (u), is an asymptotically (as b) optimal choice of in a sense to be defined. Implications of this result for Monte Carlo studies in sequential analysis are discussed.
David Siegmund (Thu,) studied this question.